Statistical Inference for Ergodic Diffusion Processes - Rilegato

Libro 71 di 160: Springer Series in Statistics

Kutoyants, Yury A.; Kutoyants, Yu. A.

 
9781852337599: Statistical Inference for Ergodic Diffusion Processes
Rilegato
ISBN 10: 1852337591 ISBN 13: 9781852337599
Casa editrice: Springer Nature, 2003

Sinossi

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.

 

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Recensione

From the reviews:

"This book is very much in the Springer mould of graduate mathematical statistics books, giving rapid access to the latest literature...It presents a strong discussion of nonparametric and semiparametric results, from both classical and Bayesian standpoints...I have no doubt that it will come to be regarded as a classic text." Journal of the Royal Statistical Society, Series A, v. 167

"This book is an amazing collection of results and examples of inference problems in the setup considered. Each chapter also considers historical remarks and starts with a very focused introduction explaining in a few lines the content of the chapter. ... The book is well written ... . This book will be useful to both Ph.D. students in mathematical statistics and young researchers. Experts in the field will also find this collection of results valuable. A must have!" (Stefano Maria Iacus, Mathematical Reviews, 2006 b)

"The author has done a thorough job of presenting all that is known in the area of large sample theory of estimation in diffusions processes. Many deep and technically difficult results of the authors and his collaborators appear in the book. A must have for anyone interested in inference in diffusions." (Arup Bose, Sankhya: The Indian Journal of Statistics, Vol. 67 (1), 2005)

"This book is very much in the Springer mould of graduate mathematical statistics books, giving rapid access to the latest literature. ... It presents a strong discussion of nonparametric and semiparametric results, from both classical and Bayesian standpoints. The book will be of greatest use to mathematical statisticians, and as a reference work for those highly mathematical financial analysts who are involved in pricing, monitoring and trading derivatives. ... I have no doubt that it will come to be regarded as a classic text." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 167 (4), 2004)

"This work is a continuation of the study of large sample theory of continuous time stochastic processes investigated by the author ... . The book is written in a very clear style and is of use for research workers in the area of stochastic processes." (B. L. S. Prakasa Rao, Zentralblatt MATH, Vol. 1038 (13), 2004)

Contenuti

1 Diffusion Processes and Statistical Problems.- 2 Parameter Estimation.- 3 Special Models.- 4 Nonparametric Estimation.- 5 Hypotheses Testing.- Historical Remarks.- References.

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Editore
Springer Nature
Data di pubblicazione
2003
Lingua
Inglese
ISBN 10 
1852337591
ISBN 13 
9781852337599
Rilegatura
Copertina rigida
Numero di pagine
481
Contatto del produttore
Elevation
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Germania

Altre edizioni note dello stesso titolo

9781849969062: Statistical Inference for Ergodic Diffusion Processes

Edizione in evidenza

ISBN 10:  184996906X ISBN 13:  9781849969062
Casa editrice: Springer, 2010
Brossura