Mathematical Sciences: Time Series, Extreme Values and Stochastic Models

数学科学：时间序列、极值和随机模型

• 批准号: 9100392
• 负责人: Peter Brockwell
• 金额: $ 22.85万
• 依托单位: Colorado State University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1991
• 资助国家: 美国
• 起止时间: 1991-07-01 至 1994-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9100392&HistoricalAwards=false
• 关键词: Mathematical; Sciences; Time; Series; Extreme

The research to be carried out under this award is divided into three parts. Part A is concerned with problems of estimation and prediction for time series models whose theory is not fully understood. These include nonlinear, heavy tailed and non-Gaussian processes, all of which play an important role in the modelling of real time series data. The second Part deals with extreme value theory, and the application of ideas from point processes to analysis of linear, bilinear and generally stationary processes. Results of the second part will help in a better analysis of the first part. Part C is concerned with processes arising in the modelling of storage systems and population growth.

根据该奖项进行的研究分为 分成三部分。 A部分涉及以下问题： 估计和预测的时间序列模型，其理论是 没有完全理解。 这些方法包括非线性、重尾和 非高斯过程，所有这些都发挥了重要作用， 真实的时间序列数据的建模。 第二部分是 与极值理论，以及思想的应用 点过程分析线性，双线性和一般 平稳过程 第二部分的结果将有助于 对第一部分的分析比较好。 C部分涉及 存储系统建模过程中出现的过程， 人口增长。