Martingale methods in statistics
著者
書誌事項
Martingale methods in statistics
（Monographs on statistics and applied probability, 170）（A Chapman & Hall book）
CRC Press, Taylor & Francis Group, 2022
- : hbk
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注記
Includes bibliographical references (p. 239-242) and index
内容説明・目次
内容説明
Potential readers include those who wish to build up mathematical bases to deal with high-frequency data in mathematical finance and those who wish to learn the theoretical background for Cox's regression model in survival analysis
Intuitive interpretations and concrete usages of fundamental theorems in martingale theory
Relatively new theorems in asymptotic statistics presented in a completely self-contained way.
Highlight of the monograph is Chapters 8-10 dealing with Z-estimators and related topics
目次
1. Prologue 2 Preliminaries. 3. A Short Introduction to Statistics of Stochastic Processes. 4. Discrete-Time Martingales. 5. Continuous-Time Martingales. 6. Tools of Semimartingales. 7. Tools for Asymptotic Statistics. 8. Parametric Z-Estimators. 9. Optimal Inference in Finite-Dimensional LAN Models. 10 Z-Process Method for Change Point Problems.
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