Statistical inference for diffusion type processes
著者
書誌事項
Statistical inference for diffusion type processes
(Kendall's library of statistics, 8)
Arnold, 1999
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注記
"Co-published in the USA by Oxford University Press Inc., New York"
Bibliography : p. [327]-341
Includes Indexes
内容説明・目次
内容説明
Decision making in all spheres of activity involves uncertainty. If rational decisions have to be made, they have to be based on the past observations of the phenomenon in question. Data collection, model building and inference from the data collected, validation of the model and refinement of the model are the key steps or building blocks involved in any rational decision making process. Stochastic processes are widely used for model building in the social, physical, engineering, and life sciences as well as in financial economics. Statistical inference for stochastic processes is of great importance from the theoretical as well as from applications point of view in model building. During the past twenty years, there has been a large amount of progress in the study of inferential aspects for continuous as well as discrete time stochastic processes. Diffusion type processes are a large class of continuous time processes which are widely used for stochastic modelling. the book aims to bring together several methods of estimation of parameters involved in such processes when the process is observed continuously over a period of time or when sampled data is available as generally feasible.
目次
- Semimartingales
- exponential families of stochastic processes
- asymptotic likelihood theory
- asymptotic likelihood theory for diffusion processes
- quasi-likelihood and semimartingales
- local asymptotic behaviour of semimartingales
- likelihood of asymptotic efficiency
- parametric inference for diffusion type processes
- non-parametric inference for diffusion type
- inference for counting processess
- inference for semimartingale regression models
- applications to statistical modelling
- numerical approximation methods for stochastic differential equations.
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