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

A. Novikov, N Kordzakhia

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

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 languageEnglish
Title of host publicationInnovation in mathematics
Editors Keranen, P Mitic, A Hietamaki
Place of PublicationSouthampton, UK
PublisherCOMPUTATIONAL MECHANICS PUBLICATIONS LTD
Pages369-376
Number of pages8
ISBN (Print)9525153029
Publication statusPublished - 1997
Externally publishedYes
Event2nd International Mathematica Symposium (IMS 97) - ROVANIEMI, Finland
Duration: 29 Jun 19974 Jul 1997

Publication series

NameINTERNATIONAL MATHEMATICA SYMPOSIUM
PublisherCOMPUTATIONAL MECHANICS PUBLICATIONS LTD
ISSN (Print)1239-7725

Conference

Conference2nd International Mathematica Symposium (IMS 97)
CountryFinland
CityROVANIEMI
Period29/06/974/07/97

Cite this