Selfsimilar processes

Resource Information

The work Selfsimilar processes represents a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool. This resource is a combination of several types including: Work, Language Material, Books.

Label

Selfsimilar processes

Statement of responsibility

Paul Embrechts and Makoto Maejima

Creator

• Embrechts, Paul, 1953-
• Embrechts, Paul, 1953-

Contributor

• Maejima, Makoto

Subject

• Distribution (Probability theory)
• Self-similar processes

Language

eng

Summary

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 a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity t

Member of

• Princeton series in applied mathematics
• Online access with subscription: Proquest Ebook Central

Cataloging source

CaPaEBR

Dewey number

519.2/4

Illustrations

illustrations

Index

index present

LC call number

QA274.9

LC item number

.E43 2002eb

Literary form

non fiction

Nature of contents

• standards specifications
• bibliography