Processes with Long-Range Correlations : Theory and Applications. 1st ed. 2003

種類:

電子ブック

責任表示:

edited by Govindan Rangarajan, Mingzhou Ding

出版情報:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003

著者名:

• Rangarajan, Govindan.
• Ding, Mingzhou.
• SpringerLink (Online service)

シリーズ名:

Lecture Notes in Physics ; 621

ISBN:

9783540448327 [3540448322]    

注記:

Theory -- Prediction of Long-Memory Time Series: A Tutorial Review -- Fractional Brownian Motion and Fractional Gaussian Noise -- Scaling and Wavelets: An Introductory Walk -- Wavelet Estimation for the Hurst Parameter in Stable Processes -- From Stationarity to Self-similarity, and Back: Variations on the Lamperti Transformation -- Fractal Sums of Pulses and a Practical Challenge to the Distinction Between Local and Global Dependence -- Applications -- Supra-diffusion -- Fractional diffusion Processes: Probability Distributions and Continuous Time Random Walk -- First Passage Distributions for Long Memory Processes -- Non-Gaussian Statistics and Anomalous diffusion in Porous Media -- Directed Transport in AC-Driven Hamiltonian Systems -- Patterns and Correlations in Economic Phenomena Uncovered Using Concepts of Statistical Physics -- Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity -- Interaction Models for Common Long-Range Dependence in Asset Prices Volatility --
Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together to provide a comprehensive and well-balanced account of basic notions and recent developments. The book is divided into two parts. The first part deals with theoretical developments in the area. The second part comprises chapters dealing primarily with three major areas of application: anomalous diffusion, economics and finance, and biology (especially neuroscience).

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