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Selfsimilar Processes (Princeton Series in Applied Mathematics)
Selfsimilar Processes - Princeton Series in Applied Mathematics
Author: 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. Sel...  more »
ISBN-13: 9780691096278
ISBN-10: 0691096279
Publication Date: 7/16/2002
Pages: 152
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Publisher: Princeton University Press
Book Type: Hardcover
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