Continuous-Parameter Time Series

ยท De Gruyter Studies in Mathematics 98๊ถŒ ยท Walter de Gruyter GmbH & Co KG
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This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. Lรฉvy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of Lรฉvy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.

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Peter J. Brockwell, Colorado State University, USA; Alexander M. Lindner, Ulm University, Germany.

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