Processes with Long-Range Correlations: Theory and Applications

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Springer Science & Business Media, Jun 11, 2003 - Business & Economics - 392 pages
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Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together to provide a comprehensive and well-balanced account of basic notions and recent developments. The book is divided into two parts. The first part deals with theoretical developments in the area. The second part comprises chapters dealing primarily with three major areas of application: anomalous diffusion, economics and finance, and biology (especially neuroscience).

 

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Contents

A Tutorial Review
3
Fractional Brownian Motion and Fractional Gaussian Noise
22
An Introductory Walk
34
Wavelet Estimation for the Hurst Parameter in Stable Processes
61
Variations on the Lamperti Transformation
88
Fractal Sums of Pulses and a Practical Challenge to the Distinction Between Local and Global Dependence
118
Supradiffusion
139
Probability Distributions and Continuous Time Random Walk
148
Patterns and Correlations in Economic Phenomena Uncovered Using Concepts of Statistical Physics
210
Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity
225
Interaction Models for Common LongRange Dependence in Asset Prices Volatility
251
Long Memory and Economic Growth in the World Economy Since the 19th Century
270
Correlations and Memory in Neurodynamical Systems
286
Long Range Dependence in Human Sensorimotor Coordination
309
Scaling and Criticality in LargeScale Neuronal Activity
324
LongRange Dependence in Heartbeat Dynamics
339

First Passage Distributions for Long Memory Processes
167
NonGaussian Statistics and Anomalous Diffusion in Porous Media
181
Directed Transport in ACDriven Hamiltonian Systems
193
From Modeling to Control of Broadband Network Traffic
373
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