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Author: Subir Ghosh
Publisher: CRC Press
ISBN: 1482269775
Category : Mathematics
Languages : en
Pages : 858
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Book Description
"Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."
Author: Subir Ghosh
Publisher: CRC Press
ISBN: 1482269775
Category : Mathematics
Languages : en
Pages : 858
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Book Description
"Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."
Author: Randal Douc
Publisher: CRC Press
ISBN: 1466502347
Category : Mathematics
Languages : en
Pages : 548
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Book Description
This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference.
Author: Soumendra Lahiri
Publisher: Springer Science & Business Media
ISBN: 3319026518
Category : Mathematics
Languages : en
Pages : 395
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Book Description
This volume highlights Prof. Hira Koul’s achievements in many areas of Statistics, including Asymptotic theory of statistical inference, Robustness, Weighted empirical processes and their applications, Survival Analysis, Nonlinear time series and Econometrics, among others. Chapters are all original papers that explore the frontiers of these areas and will assist researchers and graduate students working in Statistics, Econometrics and related areas. Prof. Hira Koul was the first Ph.D. student of Prof. Peter Bickel. His distinguished career in Statistics includes the receipt of many prestigious awards, including the Senior Humbolt award (1995), and dedicated service to the profession through editorial work for journals and through leadership roles in professional societies, notably as the past president of the International Indian Statistical Association. Prof. Hira Koul has graduated close to 30 Ph.D. students, and made several seminal contributions in about 125 innovative research papers. The long list of his distinguished collaborators is represented by the contributors to this volume.
Author: D N Shanbhag
Publisher: Gulf Professional Publishing
ISBN: 9780444500144
Category : Mathematics
Languages : en
Pages : 990
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Book Description
This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.
Author: Masanobu Taniguchi
Publisher: Springer Science & Business Media
ISBN: 146121162X
Category : Mathematics
Languages : en
Pages : 671
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Book Description
The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA, and ARMA processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described. The authors discuss estimation and testing theory and many other relevant statistical methods and techniques.
Author: Ishwar V. Basawa
Publisher: IMS
ISBN: 9780940600447
Category : Mathematics
Languages : en
Pages : 460
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Book Description
Author: Masanobu Taniguchi
Publisher: Springer Science & Business Media
ISBN: 3319034979
Category : Business & Economics
Languages : en
Pages : 125
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Book Description
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.
Author:
Publisher:
ISBN:
Category : Electronic journals
Languages : en
Pages : 884
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Book Description
Author: Masanobu Taniguchi
Publisher: CRC Press
ISBN: 1420011030
Category : Business & Economics
Languages : en
Pages : 379
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Book Description
Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively des
Author:
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 750
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Book Description
