Multivariate characteristic and correlation functions (Q1945051)
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English | Multivariate characteristic and correlation functions |
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Multivariate characteristic and correlation functions (English)
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2 April 2013
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As it is well-known in probability theory, the distribution of a random variable is in one-to-one correspondence with its characteristic function, so there is an alternative to the probability approach to obtain analytical results. The same can be said about the correlation function. Obviously, one can generalize these notions to multivariate random variables, and this has already been made, but there are no many attempts in this sense at book levels. Accordingly, the main goal of this book is to fill this gap. The author tried to make accessible the basic concepts regarding the corresponding generalization to advanced students and researchers, interested in probability theory and mathematical statistics focused on the multivariate case. Aimed as a self-contained book, there is a relatively large Appendix containing the necessary mathematical background ending the book.
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characteristic functions
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multivariate case
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differential and integral calculus
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functional analysis, measure theory
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probability theory
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