9783319078748 - inference on the hurst parameter and the variance of diffusions driven by fractional brownian motion: 216 di berzin, corinne; latour, alain; león, josé r. (13 risultati)
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Altre immaginiInference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Taschenbuch. Condizione: Neu. Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion | Corinne Berzin (u. a.) | Taschenbuch | Lecture Notes in Statistics | xxviii | Englisch | 2014 | Springer | EAN 9783319078748 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr…. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.
Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered.It will be of interest to probab…ility specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the 'Fourth Moment Theorem' is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence.The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events and contaminant diffusion problems.
Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Condizione: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered.It will be of interest to probab…ility specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the ¿Fourth Moment Theorem¿ is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence.The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events and contaminant diffusion problems.
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermaniaBuchWeltWeit Ludwig Meier e.K.
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered.It will be of in…terest to probability specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the 'Fourth Moment Theorem' is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence.The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events and contaminant diffusion problems. 200 pp. Englisch.
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered.It will be of intere…st to probability specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the ¿Fourth Moment Theorem¿ is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence.The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events and contaminant diffusion problems.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 200 pp. Englisch.
