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Statistical Methods for Stochastic Differential Equations: Chapman & Hall/CRC Monographs on Statistics and Applied Probability

Autor Mathieu Kessler, Alexander Lindner, Michael Sorensen
en Limba Engleză Hardback – 17 mai 2012
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research.
The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions.
Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
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Specificații

ISBN-13: 9781439849408
ISBN-10: 1439849404
Pagini: 508
Ilustrații: 25 b/w images
Dimensiuni: 156 x 234 x 33 mm
Greutate: 0.84 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman & Hall/CRC Monographs on Statistics and Applied Probability


Public țintă

Researchers and graduate students in statistics, mathematics, finance, and econometrics.

Cuprins

Estimating functions for diffusion-type processes. The econometrics of high frequency data. Statistics and high frequency data. Importance sampling techniques for estimation of diffusion models. Non parametric estimation of the coefficients of ergodic diffusion processes based on high frequency data. Ornstein–Uhlenbeck related models driven by Lévy processes. Parameter estimation for multiscale diffusions: an overview.

Notă biografică

Matthieu Kessler, Department of Applied Mathematics and Statistics, University of Cartagena, Spain
Alexander Lindner, Institute of Mathematics and Statistics, TU Braunschweig, Germany
Michael Sorensen, Department of Mathematical Sciences, University of Copenhagen, Denmark

Recenzii

"… an excellent resource for anyone currently active in research in this area, interested in getting into research in the area, or just interested in the topic. I cannot think of another source that provides detailed yet accessible introductions of this quality and timeliness to the major issues of interest in this area. … As noted in the preface, the idea is to get young researchers ‘quickly to the forefront of knowledge and research.’ … The book succeeds in delivering on this goal. A careful reading of the chapters of this book would go a long way toward putting one in a position to begin contributing to the large and rapidly growing body of research in this important area of statistics. It would certainly be an excellent resource for teaching advanced Ph.D. courses. … This is a wonderful book for anyone interested in SDEs. I highly recommend it and am happy to have it on my bookshelf."
—Garland B. Durham, Journal of the American Statistical Association, March 2014
"The contributors are all renowned specialists in the field … the last four chapters are generally well written, informative, and cover a wide range of different aspects of statistics for SDE … the first three chapters … constitute an original and very useful contribution in a field that too often has the reputation of being technical and somehow austere. … I strongly recommend the book for anyone interested in the wide topic of statistical methods for SDE, whether she or he is a specialist or a student starting in the field."
—Marc Hoffmann, Université Paris–Dauphine Sørensen, CHANCE, 26.3
"… a good collection of useful and interesting articles … [I have] no hesitation in recommending the book."
—Tusheng Zhang, Journal of Time Series Analysis, 2013

Descriere

The seventh volume in the SemStat series, this book presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible both to new students and seasoned researchers, each chapter starts with introductions to the topics and builds gradually toward discussing recent research. Chapters are self-contained and written by leading researchers from the field. The book includes applications to finance and econometrics.