Selfsimilar Processes
(Part of the Princeton Series in Applied Mathematics Series)
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The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as...
Format:Hardcover
Language:English
ISBN:0691096279
ISBN13:9780691096278
Release Date:August 2002
Publisher:Princeton University Press
Length:128 Pages
Weight:0.80 lbs.
Dimensions:0.7" x 6.3" x 9.6"
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