Stable Non-Gaussian Random Processes

Download or read book Stable Non-Gaussian Random Processes written by Gennady Samorodnitsky and published by CRC Press. This book was released on 1994-06-01 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both an introduction and a basic reference text on non-Gaussian stable models, for graduate students and practitioners. Assuming only a first-year graduate course in probability, it includes material which has only recently appeared in journals and unpublished materials. Each chapter begins with a brief overview and concludes with a range of exercises at varying levels of difficulty. Proofs are spelled out in detail. The volume includes a discussion of self-similar processes, ARMA, and fractional ARIMA time series with stable innovations. Annotation copyright by Book News, Inc., Portland, OR