Metric Characterization of Random Variables and Random Processes - Couverture rigide

Buldygin, Valery; Kozachenko, Yu V.

Couverture rigide

ISBN 10 : 0821805339 ISBN 13 : 9780821805336

Editeur : American Mathematical Society, 2000

Synopsis

The topic covered in this book is the study of metric and other close characteristics of different spaces and classes of random variables and the application of the entropy method to the investigation of properties of stochastic processes whose values, or increments, belong to given spaces. The following processes appear in detail: pre-Gaussian processes, shot noise processes representable as integrals over processes with independent increments, quadratically Gaussian processes, and, in particular, correlogram-type estimates of the correlation function of a stationary Gaussian process, jointly strictly sub-Gaussian processes, etc.The book consists of eight chapters divided into four parts. The first part deals with classes of random variables and their metric characteristics. The second part presents properties of stochastic processes 'imbedded' into a space of random variables discussed in the first part. The third part considers applications of the general theory. The fourth part outlines the necessary auxiliary material. Problems and solutions presented show the intrinsic relation existing between probability methods, analytic methods, and functional methods in the theory of stochastic processes. The concluding sections, 'Comments' and 'References', gives references to the literature used by the authors in writing the book.

Détails de l'édition

• Éditeur: American Mathematical Society
• Date d'édition: 2000
• Langue: anglais
• ISBN 10: 0821805339
• ISBN 13: 9780821805336
• Reliure: Relié
• Nombre de pages: 264
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible