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Statistics for Long-Memory Processes




ISBN 9780412049019
Published October 1, 1994 by Chapman and Hall/CRC
315 Pages

 
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Book Description

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context.

Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.

Table of Contents

Preface
Introduction
Stationary Processes with Long Memory
Limit Theorems
Estimations of Long Memory-Heuristic Approaches
Estimations of Long Memory-MLE Time Domain
Estimations of Long Memory-MLE Frequency Domain
Robust Estimation of Long Memory
Estimation of Location and Scale, Forecasting
Regression
Goodness of Fit Tests and Related Topics
References
Author Index
Subject Index

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Reviews

"This book covers the diverse statistical methods and applications for data with long-range dependence. The author provides a concise and accessible overview of probabilistic foundations, statistical methods, and applications."
- L'Enseignement Mathematique

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