Statistical Methods for Stochastic Differential Equations: 124 (Chapman & Hall/CRC Monographs on Statistics and Applied Probability) - Tapa dura

Libro 40 de 110: ISSN

Kessler, Mathieu; Lindner, Alexander; Sorensen, Michael

 
9781439849408: Statistical Methods for Stochastic Differential Equations: 124 (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
Tapa dura
ISBN 10: 1439849404 ISBN 13: 9781439849408
Editorial: Chapman and Hall/CRC, 2012

Sinopsis

The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research.

The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions.

Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Matthieu Kessler, Department of Applied Mathematics and Statistics, University of Cartagena, Spain

Alexander Lindner, Institute of Mathematics and Statistics, TU Braunschweig, Germany

Michael Sorensen, Department of Mathematical Sciences, University of Copenhagen, Denmark

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Chapman and Hall/CRC
Año de publicación
2012
Idioma
Inglés
ISBN 10 
1439849404
ISBN 13 
9781439849408
Encuadernación
Tapa dura
Número de edición
1
Número de páginas
508
Contacto del fabricante
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Alemania