Book contents
- Frontmatter
- Dedication
- Contents
- Expanded Contents
- List of Abbreviations
- Notation
- Preface
- 1 A Brief Overview of Time Series and Stochastic Processes
- 2 Basics of Long-Range Dependence and Self-Similarity
- 3 Physical Models for Long-Range Dependence and Self-Similarity
- 4 Hermite Processes
- 5 Non-Central and Central Limit Theorems
- 6 Fractional Calculus and Integration of Deterministic Functions with Respect to FBM
- 7 Stochastic Integration with Respect to Fractional Brownian Motion
- 8 Series Representations of Fractional Brownian Motion
- 9 Multidimensional Models
- 10 Maximum Likelihood Estimation Methods
- Appendix A Auxiliary Notions and Results
- Appendix B Integrals with Respect to Random Measures
- Appendix C Basics of Malliavin Calculus
- Appendix D Other Notes and Topics
- Bibliography
- Index
2 - Basics of Long-Range Dependence and Self-Similarity
Published online by Cambridge University Press: 11 May 2017
- Frontmatter
- Dedication
- Contents
- Expanded Contents
- List of Abbreviations
- Notation
- Preface
- 1 A Brief Overview of Time Series and Stochastic Processes
- 2 Basics of Long-Range Dependence and Self-Similarity
- 3 Physical Models for Long-Range Dependence and Self-Similarity
- 4 Hermite Processes
- 5 Non-Central and Central Limit Theorems
- 6 Fractional Calculus and Integration of Deterministic Functions with Respect to FBM
- 7 Stochastic Integration with Respect to Fractional Brownian Motion
- 8 Series Representations of Fractional Brownian Motion
- 9 Multidimensional Models
- 10 Maximum Likelihood Estimation Methods
- Appendix A Auxiliary Notions and Results
- Appendix B Integrals with Respect to Random Measures
- Appendix C Basics of Malliavin Calculus
- Appendix D Other Notes and Topics
- Bibliography
- Index
Summary
![Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'](https://static.cambridge.org/content/id/urn%3Acambridge.org%3Aid%3Abook%3A9781139600347/resource/name/firstPage-9781139600347c2_p15-112_CBO.jpg)
- Type
- Chapter
- Information
- Long-Range Dependence and Self-Similarity , pp. 15 - 112Publisher: Cambridge University PressPrint publication year: 2017