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Brownian motion, the Fredholm determinant, and time series analysis / Katsuto Tanaka (Hitotsubashi University, Tokyo)

By: Resource type: Ressourcentyp: BuchBookLanguage: English Series: Institute of Mathematical Statistics. Institute of Mathematical Statistics monographs ; 9Publisher: Cambridge : Cambridge University Press, 2025Description: x, 341 Seiten : IllustrationenISBN:
  • 9781009566995
Subject(s): Additional physical formats: No title | 9781009567008 | 9781009566995 | Erscheint auch als: Brownian motion, the fredholm determinant, and time series analysis. Online-Ausgabe Cambridge : Cambridge University Press, 2025. 1 online resource (x, 341 pages)DDC classification:
  • 519.23 23
MSC: MSC: 60-01Summary: Brownian motion is an important topic in various applied fields where the analysis of random events is necessary. Introducing Brownian motion from a statistical viewpoint, this detailed text examines the distribution of quadratic plus linear or bilinear functionals of Brownian motion and demonstrates the utility of this approach for time series analysis. It also offers the first comprehensive guide on deriving the Fredholm determinant and the resolvent associated with such statistics. Presuming only a familiarity with standard statistical theory and the basics of stochastic processes, this book brings together a set of important statistical tools in one accessible resource for researchers and graduate students. Readers also benefit from online appendices, which provide probability density graphs and solutions to the chapter problems.PPN: PPN: 192118146X
Holdings
Item type Home library Shelving location Call number Status Barcode
Freihandbestand ausleihbar Fachbibliothek Mathematik Bibliothek / frei aufgestellt Stoch. / Tan Available 36544641090
Total holds: 0
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