Processes with Long-Range Correlations: Theory and Applications

Front Cover
Govindan Rangarajan, Mingzhou Ding
Springer, Jan 11, 2008 - Medical - 398 pages

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).

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Applications
7
University of Ottawa Centre for Theoretical Studies
12
Multistep Prediction of the LongMemory Time Series
13
References
19
The ContinuousTime Fractional Gaussian Noise
26
References
32
Patrice Abry
34
Patrick Flandrin J A Scott Kelso
46
Conclusion
206
Appendix
207
References
209
Patterns and Correlations in Economic Phenomena Uncovered Using Concepts of Statistical Physics H E Stanley P Gopikrishnan V Plerou M A Salin...
210
Classic Approaches to Finance Patterns
212
Patterns in Finance Fluctuations
213
Patterns Resembling Diffusion in a Tsunami Wave
217
CrossCorrelations in Price Fluctuations of Different Stocks
219

Beyond Selfsimilarity
50
Conclusion
58
Wavelet Estimation for the Hurst Parameter
61
Wavelet Estimators for the Selfsimilarity Parameter H of LFSM
68
Computer Simulations
74
Appendix
84
PierreOlivier Amblard
88
Examples and Applications
98
Variations
105
Conclusion
115
GŘnter Franke Joseph Klafter
117
Benoit B Mandelbrot Pabitra N
118
Definitions
122
Address Diagrams and the Mechanism
129
References
135
Supradiffusion
139
Jan Beran
148
The Green Function for SpaceTime Fractional Diffusion
153
Statistics
165
First Passage Distributions for Long Memory Processes
167
5
170
3
176
NonGaussian Statistics and Anomalous Diffusion
181
Effect of Relaxation
188
Dispersion
190
References
191
Directed Transport in ACDriven Hamiltonian Systems S Denisov J Klafter M Urbakh
193
The Model
194
The Role of Regular Islands
196
Generalized Asymmetric CTRWModel
199
Manipulation of Systems
201
Patterns in Firm Growth
220
Universality of the Firm Growth Problem
221
References
222
Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity J Beran Y Feng G Franke D Hess D Ocker
225
The Model
226
Estimation of SEMIFAR Models A Review
231
SEMIFAR Forecasting
237
Examples
239
Final Remarks
248
References
249
Interaction Models for Common LongRange Dependence in Asset Price Volatility G Teyssiere
251
LongRange Dependent vs ChangePoint Processes
252
Interaction Models
260
References
267
Studies of Long Memory in Real and Financial Economic Variables
274
Department of Mathematical Sciences
277
Discussion and Conclusions
283
Delayed Neurodynamical Systems
296
Conclusion
305
Yanqing Chen
309
Dependence of Scaling Exponent
317
Scaling and Criticality in LargeScale Neuronal Activity
324
Evidence for SOC in Neuronal Systems
331
References
337
S Denisov
339
LongRange Correlations in the Magnitudes and Signs
347
Boston MA 02215
370
From Modeling to Control
373
Comparison of Queuing Performance Analysis
379
Information Theoretic Analysis of Multifractal Systems
386
Copyright

Other editions - View all

Common terms and phrases