Statistical Inference for Ergodic Diffusion Processes

Yury A. Kutoyants - Collection Springer Series In Statistics

482 pages, parution le 11/12/2003

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Résumé

Statistical Inference for Ergodic Diffusion Processes encompasses a wealth of results from over ten years of mathematical literature. It provides a comprehensive overview of existing techniques, and presents - for the first time in book form - many new techniques and approaches. An elementary introduction to the field at the start of the book introduces a class of examples - both non-standard and classical - that reappear as the investigation progresses to illustrate the merits and demerits of the procedures. The statements of the problems are in the spirit of classical mathematical statistics, and special attention is paid to asymptotically efficient procedures. Today, diffusion processes are widely used in applied problems in fields such as physics, mechanics and, in particular, financial mathematics.
This book provides a state-of-the-art reference that will prove invaluable to researchers, and graduate and postgraduate students, in areas such as financial mathematics, economics, physics, mechanics and the biomedical sciences.

Written for:
Postgraduate students, researchers, applied mathematicians

Sommaire

Introduction
Diffusion Processes and Statistical Problems
Parameter Estimation
Special Models
Nonparametric Estimation
Hypothesis Testing

Historical Remarks
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Yury A. Kutoyants
Collection	Springer Series In Statistics
Parution	11/12/2003
Nb. de pages	482
Format	16 x 24
Couverture	Relié
Poids	940g
Intérieur	Noir et Blanc
EAN13	9781852337599
ISBN13	978-1-85233-759-9