Stochastic and statistical analysis of long-range dependent processes with `Mathematica'

A. Novikov; N. Kordzakhia

Stochastic and statistical analysis of long-range dependent processes with `Mathematica'

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

Abstract

Mathematical models of stationary long-range dependent processes are more complicated then ordinary autoregressive models as they involve fractional difference equations (or, even fractional differential equations in continuous time case). The explicit representation of solutions of these equations requires special functions like hypergeometric or Gegenbauer polynomials. This paper demonstrates that Mathematica capability doing symbolic calculations makes both stochastic and statistical analysis of stationary processes with long memory easier.

Original language	English
Title of host publication	Innovations in Mathematics
Subtitle of host publication	proceedings of the Second International Mathematica Symposium
Editors	V. Keranen, P. Mitic, A. Hietamaki
Place of Publication	Southampton; Boston
Publisher	Computational Mechanics Publications
Pages	369-376
Number of pages	8
ISBN (Print)	9525153029
Publication status	Published - 1997
Externally published	Yes
Event	2nd International Mathematica Symposium (IMS 97) - ROVANIEMI, Finland Duration: 29 Jun 1997 → 4 Jul 1997

Publication series

Name	INTERNATIONAL MATHEMATICA SYMPOSIUM
Publisher	COMPUTATIONAL MECHANICS PUBLICATIONS LTD
ISSN (Print)	1239-7725

Conference

Conference	2nd International Mathematica Symposium (IMS 97)
Country/Territory	Finland
City	ROVANIEMI
Period	29/06/97 → 4/07/97

Cite this

Novikov, A. ; Kordzakhia, N. / Stochastic and statistical analysis of long-range dependent processes with `Mathematica'. Innovations in Mathematics: proceedings of the Second International Mathematica Symposium . editor / V. Keranen ; P. Mitic ; A. Hietamaki. Southampton; Boston : Computational Mechanics Publications, 1997. pp. 369-376 (INTERNATIONAL MATHEMATICA SYMPOSIUM).

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title = "Stochastic and statistical analysis of long-range dependent processes with `Mathematica'",

abstract = "Mathematical models of stationary long-range dependent processes are more complicated then ordinary autoregressive models as they involve fractional difference equations (or, even fractional differential equations in continuous time case). The explicit representation of solutions of these equations requires special functions like hypergeometric or Gegenbauer polynomials. This paper demonstrates that Mathematica capability doing symbolic calculations makes both stochastic and statistical analysis of stationary processes with long memory easier.",

author = "A. Novikov and N. Kordzakhia",

year = "1997",

language = "English",

isbn = "9525153029",

series = "INTERNATIONAL MATHEMATICA SYMPOSIUM",

publisher = "Computational Mechanics Publications",

pages = "369--376",

editor = "V. Keranen and P. Mitic and A. Hietamaki",

booktitle = "Innovations in Mathematics",

note = "2nd International Mathematica Symposium (IMS 97) ; Conference date: 29-06-1997 Through 04-07-1997",

}

Novikov, A & Kordzakhia, N 1997, Stochastic and statistical analysis of long-range dependent processes with `Mathematica'. in V Keranen, P Mitic & A Hietamaki (eds), Innovations in Mathematics: proceedings of the Second International Mathematica Symposium . INTERNATIONAL MATHEMATICA SYMPOSIUM, Computational Mechanics Publications, Southampton; Boston, pp. 369-376, 2nd International Mathematica Symposium (IMS 97), ROVANIEMI, Finland, 29/06/97.

Stochastic and statistical analysis of long-range dependent processes with `Mathematica'. / Novikov, A.; Kordzakhia, N.
Innovations in Mathematics: proceedings of the Second International Mathematica Symposium . ed. / V. Keranen; P. Mitic; A. Hietamaki. Southampton; Boston: Computational Mechanics Publications, 1997. p. 369-376 (INTERNATIONAL MATHEMATICA SYMPOSIUM).

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

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AU - Kordzakhia, N.

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AB - Mathematical models of stationary long-range dependent processes are more complicated then ordinary autoregressive models as they involve fractional difference equations (or, even fractional differential equations in continuous time case). The explicit representation of solutions of these equations requires special functions like hypergeometric or Gegenbauer polynomials. This paper demonstrates that Mathematica capability doing symbolic calculations makes both stochastic and statistical analysis of stationary processes with long memory easier.

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Stochastic and statistical analysis of long-range dependent processes with `Mathematica'

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