Statistical Inference For Ergodic Diffusion Processes
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Statistical Inference for Ergodic Diffusion Processes
Author | : Yury A. Kutoyants |
Publsiher | : Unknown |
Total Pages | : 500 |
Release | : 2014-01-15 |
Genre | : Electronic Book |
ISBN | : 1447138678 |
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Statistical Inference for Ergodic Diffusion Processes
Author | : Yu. A. Kutoyants |
Publsiher | : Springer Science & Business Media |
Total Pages | : 500 |
Release | : 2004 |
Genre | : Mathematics |
ISBN | : 1852337591 |
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The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Statistical Inference for Ergodic Diffusion Processes
Author | : Yury A. Kutoyants |
Publsiher | : Springer Science & Business Media |
Total Pages | : 493 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 9781447138662 |
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The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Asymptotic Theory of Statistical Inference for Time Series
Author | : Masanobu Taniguchi,Yoshihide Kakizawa |
Publsiher | : Springer Science & Business Media |
Total Pages | : 671 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 9781461211624 |
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The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA, and ARMA processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described. The authors discuss estimation and testing theory and many other relevant statistical methods and techniques.
Statistical Inference for Fractional Diffusion Processes
Author | : B. L. S. Prakasa Rao |
Publsiher | : John Wiley & Sons |
Total Pages | : 213 |
Release | : 2011-07-05 |
Genre | : Mathematics |
ISBN | : 9780470975763 |
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Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path of the process over a finite interval is observable. Key features: Introduces self-similar processes, fractional Brownian motion and stochastic integration with respect to fractional Brownian motion. Provides a comprehensive review of statistical inference for processes driven by fractional Brownian motion for modelling long range dependence. Presents a study of parametric and nonparametric inference problems for the fractional diffusion process. Discusses the fractional Brownian sheet and infinite dimensional fractional Brownian motion. Includes recent results and developments in the area of statistical inference of fractional diffusion processes. Researchers and students working on the statistics of fractional diffusion processes and applied mathematicians and statisticians involved in stochastic process modelling will benefit from this book.
Statistical Inferences for Stochasic Processes
Author | : Ishwar V. Basawa,B. L. S. Prakasa Rao |
Publsiher | : Academic Press |
Total Pages | : 464 |
Release | : 1980-01-28 |
Genre | : Mathematics |
ISBN | : UOM:39015006420015 |
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Introductory examples of stochastic models; Special models; General theory; Further approaches.
Statistical Inferences for Stochasic Processes
Author | : Ishwar V. Basawa |
Publsiher | : Elsevier |
Total Pages | : 435 |
Release | : 2014-06-28 |
Genre | : Mathematics |
ISBN | : 9781483296142 |
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Stats Inference Stochasic Process
Inference for Diffusion Processes
Author | : Christiane Fuchs |
Publsiher | : Springer Science & Business Media |
Total Pages | : 439 |
Release | : 2013-01-18 |
Genre | : Mathematics |
ISBN | : 9783642259692 |
Download Inference for Diffusion Processes Book in PDF, Epub and Kindle
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.