Brownian motion, the fredholm determinant, and time series analysis
Auteur :
Tanaka, Katsuto
Éditeur :
Cambridge University Press
ISBN :
9781009566995
Date de publication :
2 janv. 2025
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Introducing Brownian motion from a statistical viewpoint, this text gathers many important statistical tools in one accessible resource for researchers and graduate students. In particular, it explores how to derive the distribution of various statistics arising in time series analysis that are the quadratic functionals of Brownian motion.