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Semimartingales and their Statistical Inference

Af: B.L.S. Prakasa Rao Engelsk Paperback
SPAR
kr 103

Semimartingales and their Statistical Inference

Af: B.L.S. Prakasa Rao Engelsk Paperback
Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability.
The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales.

Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include:

  • Asymptotic likelihood theory
  • Quasi-likelihood
  • Likelihood and efficiency
  • Inference for counting processes
  • Inference for semimartingale regression models

    The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today''s active researchers working in the area of inference for stochastic processes.
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    Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability.
    The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales.

    Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include:

  • Asymptotic likelihood theory
  • Quasi-likelihood
  • Likelihood and efficiency
  • Inference for counting processes
  • Inference for semimartingale regression models

    The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today''s active researchers working in the area of inference for stochastic processes.
  • Produktdetaljer
    Sprog: Engelsk
    Sider: 450
    ISBN-13: 9780367399757
    Indbinding: Paperback
    Udgave:
    ISBN-10: 036739975X
    Udg. Dato: 19 jun 2019
    Længde: 42mm
    Bredde: 152mm
    Højde: 229mm
    Forlag: Taylor & Francis Ltd
    Oplagsdato: 19 jun 2019
    Forfatter(e): B.L.S. Prakasa Rao
    Forfatter(e) B.L.S. Prakasa Rao


    Kategori Sandsynlighedsregning og statistik


    Sprog Engelsk


    Indbinding Paperback


    Sider 450


    Udgave


    Længde 42mm


    Bredde 152mm


    Højde 229mm


    Udg. Dato 19 jun 2019


    Oplagsdato 19 jun 2019

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