Metric characterization of random variables and random processes
Author(s)
Bibliographic Information
Metric characterization of random variables and random processes
（Translations of mathematical monographs, v. 188）
American Mathematical Society, c2000
- Other Title
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Metricheskie kharakteristiki sluchaĭnykh velichin i prot︠s︡essov
Метрические характеристики случайных величин и процессов
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Note
Includes bibliograhpical references (p. [241]-247) and index
Description and Table of Contents
Description
The topic covered in this book is the study of metric and other close characteristics of different spaces and classes of random variables and the application of the entropy method to the investigation of properties of stochastic processes whose values, or increments, belong to given spaces. The following processes appear in detail: pre-Gaussian processes, shot noise processes representable as integrals over processes with independent increments, quadratically Gaussian processes, and, in particular, correlogram-type estimates of the correlation function of a stationary Gaussian process, jointly strictly sub-Gaussian processes, etc.The book consists of eight chapters divided into four parts. The first part deals with classes of random variables and their metric characteristics. The second part presents properties of stochastic processes 'imbedded' into a space of random variables discussed in the first part. The third part considers applications of the general theory. The fourth part outlines the necessary auxiliary material. Problems and solutions presented show the intrinsic relation existing between probability methods, analytic methods, and functional methods in the theory of stochastic processes. The concluding sections, 'Comments' and 'References', gives references to the literature used by the authors in writing the book.
Table of Contents
Sub-Gaussian and pre-Gaussian random variables Orlicz spaces of random variables Regularity of sample paths of a stochastic process Pre-Gaussian processes Shot noise processes and their properties Correlograms of stationary Gaussian processes Jointly sub-Gaussian, super-Gaussian, and pseudo-Gaussian stochastic processes Appendices Comments References Basic notation Index.
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