Selfsimilar Processes

by Paul Embrechts

The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as...

• Format: Hardcover
• Language: English
• ISBN: 0691096279
• ISBN13: 9780691096278
• Release Date: August 2002
• Publisher: Princeton University Press
• Length: 128 Pages
• Weight: 0.80 lbs.
• Dimensions: 0.7" x 6.3" x 9.6"