Sinossi
Since also this process theory is virtually inaccessible to non-probabilists, it would appear useful to have an account of what Aalen has done, that includes exactly the amount of probability required to deal satisfactorily and rigorously with statistical models for counting processes.
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Contenuti
1. One-Dimensional Counting Processes.- 1.1. Probabilities on (0,?].- 1.2. The definition of one-dimensional counting processes.- 1.3. Construction of canonical counting processes.- 1.4. Intensities for canonical counting processes.- 1.5. Martingale decompositions for canonical counting processes.- 1.6. Statistical models and likelihood ratios.- Notes.- Exercises.- 2. Multivariate Counting Processes.- 2.1. Definition and construction of multivariate counting processes.- 2.2. Intensities and martingale representations.- 2.3. Products of canonical counting processes.- 2.4. Likelihood ratios.- 2.5. Discrete counting processes.- Exercises.- 3. Stochastic Integrals.- 3.1. Processes and martingales on WE.- 3.2. Definition and basic properties of stochastic integrals.- Notes.- Exercises.- 4. The Multiplicative Intensity Model.- 4.1. Definition of the full Aalen model.- 4.2. Product models and sufficient reductions.- 4.3. Estimation in the Aalen Model.- 4.4. Estimation in Markov chains.- 4.5. The Cox regression model.- 4.6. Maximum-likelihood estimation in Aalen models.- Notes.- Exercises.- 5. Asymptotic Theory.- 5.1. A limit theorem for martingales.- 5.2. Asymptotic distributions of Aalen estimators.- 5.3. Asymptotic distributions of product-limit estimators.- 5.4. Comparison of two intensities.- Notes.- Exercises.- 1. The principle of repeated conditioning.- 2. Weak convergence.- References.
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Book by Jacobsen M
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Statistical Analysis of Counting Processes (Softcover Reprint of the Original 1st 1982)
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Springer November 1982, 1982
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Statistical Analysis of Counting Processes (Lecture Notes in Statistics, 12)
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Statistical Analysis of Counting Processes
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Springer, Springer Nov 1982, 1982
ISBN 10: 0387907696
ISBN 13: 9780387907697
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -A first version of these lecture notes was prepared for a course given in 1980 at the University of Copenhagen to a class of graduate students in mathematical statistics. A thorough revision has led to the result presented here. The main topic of the notes is the theory of multiplicative intens ity models for counting processes, first introduced by Odd Aalen in his Ph.D. thesis from Berkeley 1975, and in a subsequent fundamental paper in the Annals of Statistics 1978. In Copenhagen the interest in statistics on counting processes was sparked by a visit by Odd Aalen in 1976. At present the activities here are centered around Niels Keiding and his group at the Statistical Re search Unit. The Aalen theory is a fine example of how advanced probability theory may be used to develop a povlerful, and for applications very re levant, statistical technique. Aalen's work relies quite heavily on the 'theorie generale des processus' developed primarily by the French school of probability the ory. But the general theory aims at much more general and profound re sults, than what is required to deal with objects of such a relatively simple structure as counting processes on the line. Since also this process theory is virtually inaccessible to non-probabilists, it would appear useful to have an account of what Aalen has done, that includes exactly the amount of probability required to deal satisfactorily and rigorously with statistical models for counting processes. 236 pp. Englisch. Codice articolo 9780387907697
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A first version of these lecture notes was prepared for a course given in 1980 at the University of Copenhagen to a class of graduate students in mathematical statistics. A thorough revision has led to the result presented here. The main topic of the notes . Codice articolo 5911745
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