Brownian Motion, the Fredholm Determinant, and Time Series Analysis

Brownian motion is an important topic in various applied fields where the analysis of random events is necessary. Introducing Brownian motion from a statistical viewpoint, this detailed text examines the distribution of quadratic plus linear or bilinear functionals of Brownian motion and demonstrates the utility of this approach for time series analysis. It also offers the first comprehensive guide on deriving the Fredholm determinant and the resolvent associated with such statistics. Presuming only a familiarity with standard statistical theory and the basics of stochastic processes, this book brings together a set of important statistical tools in one accessible resource for researchers and graduate students. Readers also benefit from online appendices, which provide probability density graphs and solutions to the chapter problems.

Author: Katsuto Tanaka
Binding Type: Hardcover
Publisher: Cambridge University Press
Published: 01/02/2025
Series: Institute of Mathematical Statistics Monographs #9
Pages: 352
Weight: 1.41lbs
Size: 9.00h x 6.00w x 0.81d
ISBN: 9781009566995