Analysis of Dependence Structures of Hybrid Stochastic Processes Using Mutual Information PDF Download
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Author: Apratim Guha
Publisher:
ISBN:
Category :
Languages : en
Pages : 322
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Author: Apratim Guha
Publisher:
ISBN:
Category :
Languages : en
Pages : 322
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Author: Tomasz R. Bielecki
Publisher: Cambridge University Press
ISBN: 1108895379
Category : Mathematics
Languages : en
Pages : 280
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Book Description
The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 946
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Author: Paul Doukhan
Publisher:
ISBN: 9783642141058
Category : Dependence (Statistics)
Languages : en
Pages :
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Book Description
This volume collects recent works on weakly dependent, long-memory and multifractal processes and introduces new dependence measures for studying complex stochastic systems. Other topics include the statistical theory for bootstrap and permutation statistics for infinite variance processes, the dependence structure of max-stable processes, and the statistical properties of spectral estimators of the long memory parameter. The asymptotic behavior of Fejér graph integrals and their use for proving central limit theorems for tapered estimators are investigated. New multifractal processes are introduced and their multifractal properties analyzed. Wavelet-based methods are used to study multifractal processes with different multiresolution quantities, and to detect changes in the variance of random processes. Linear regression models with long-range dependent errors are studied, as is the issue of detecting changes in their parameters.
Author: Gurami Shalvovich T︠S︡it︠s︡iashvili
Publisher: Nova Publishers
ISBN: 9781594542527
Category : Business & Economics
Languages : en
Pages : 194
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Book Description
The monograph is devoted to an investigation of co-operative effects in stochastic models. It includes original results of the authors in the last decade. The main object of the monograph is an analysis of an influence of a stochastic model structure on its characteristics. Problems of a co-operation and a decomposition are actual in a solution of a lot of concrete problems. These problems are: a parallelisation of algorithms and programs, a modelling of supercomputers, computer networks, systems of mobile telephones catastrophes in complex systems, a design and an improvement of technological and economical processes etc. The co-operative effects create a source of significant dependencies between complex system characteristics under large random disturbances. To analyse these effects is necessary to create special methods based on structural analysis of multi-element stochastic models together with majoral asymptotic bounds of these models characteristics. At the same time it demands to develop new approaches to a processing of statistical data and a skill in an usage of the probability theory limit theorems and related asymptotic series and bounds. A choice of the monograph material is defined as by initial applied problems so by probability methods of their solution. Conditionally the monograph may be divided into two parts. First of them contains four sections devoted to a finding of the co-operative effects and to a development of new related analytical and numerical methods. This part has presumably methodological character and creates a theoretical base of an investigation of applied stochastic systems. Second part contains three sections devoted to a solution of different applied problems. It has some interesting substantial results.
Author: Paul Doukhan
Publisher: Birkhauser
ISBN:
Category : Mathematics
Languages : en
Pages : 744
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Book Description
Long-range dependence is an important topic in the rapidly developing area of data analysis. This unique collection presents self-contained chapters written by specialists that present a comprehensive overview of the subject from the probabilistic and statistical perspective. A special section is devoted solely to mathematical techniques, and diagrams and illustrations enhance the presentation. The book discusses a number of applications from various areas including simulation and estimation, wavelets and computer networks, and econometrics and finance. Copyright © Libri GmbH. All rights reserved.
Author: Thomas Deschatre
Publisher:
ISBN:
Category :
Languages : en
Pages : 213
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Book Description
In this thesis, we study some dependence modeling problems between continuous time stochastic processes. These results are applied to the modeling and risk management of electricity markets. In a first part, we propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. We show that the class of admissible copulae for the Brownian motions contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. Results are applied to the joint modeling of electricity and other energy commodity prices. In a second part, we consider a stochastic process which is a sum of a continuous semimartingale and a mean reverting compound Poisson process and which is discretely observed. An estimation procedure is proposed for the mean reversion parameter of the Poisson process in a high frequency framework with finite time horizon, assuming this parameter is large. Results are applied to the modeling of the spikes in electricity prices time series. In a third part, we consider a doubly stochastic Poisson process with stochastic intensity function of a continuous semimartingale. A local polynomial estimator is considered in order to infer the intensity function and a method is given to select the optimal bandwidth. An oracle inequality is derived. Furthermore, a test is proposed in order to determine if the intensity function belongs to some parametrical family. Using these results, we model the dependence between the intensity of electricity spikes and exogenous factors such as the wind production.
Author: Hamzah Abdelaziz
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages :
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Author: W.-Q. Liang
Publisher:
ISBN:
Category : Stochastic analysis
Languages : en
Pages : 7
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Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 704
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