Statistics for Long-Memory Processes

This is the first book to cover the diverse statistical methods and applications for data with long-range dependence. Presenting material that has appeared only in journals, the author provides a concise and accessible overview of probabilistic foundations, statistical methods, and applications, with an emphasis on basic principles and practical applications, giving the reader an integrated perspective on theory and practice; explores data sets from a wide range of disciplines such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement, with all data sets conveniently compiled in the appendix, enabling the reader to view statistical approaches in a practical context; and supplies S-PLUS programs for the major methods discussed, allowing the practitioner to apply long-memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge needed to benefit from the balance of the book. Chapters are independent to allow selective reading. Combining essential methodologies with real-life applications, this outstanding volume will help statisticians and scientists to analyze data with long-range dependence accurately and efficiently.

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.

PrefaceIntroductionStationary Processes with Long MemoryLimit TheoremsEstimations of Long Memory-Heuristic ApproachesEstimations of Long Memory-MLE Time DomainEstimations of Long Memory-MLE Frequency DomainRobust Estimation of Long MemoryEstimation of Location and Scale, ForecastingRegressionGoodness of Fit Tests and Related TopicsReferencesAuthor IndexSubject Index