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

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


The 7th quantity within the SemStat sequence, Statistical tools for Stochastic Differential Equations provides present learn traits and up to date advancements in statistical tools for stochastic differential equations. Written to be available to either new scholars and professional researchers, each one self-contained bankruptcy starts off with introductions to the subject to hand and builds steadily in the direction of discussing contemporary study.

The publication covers Wiener-driven equations in addition to stochastic differential equations with jumps, together with continuous-time ARMA methods and COGARCH strategies. It provides a spectrum of estimation tools, together with nonparametric estimation in addition to parametric estimation in accordance with chance tools, estimating capabilities, and simulation options. chapters are dedicated to high-frequency facts. Multivariate types also are thought of, together with partly saw structures, asynchronous sampling, exams for simultaneous jumps, and multiscale diffusions.

Statistical tools for Stochastic Differential Equations turns out to be useful to the theoretical statistician and the probabilist who works in or intends to paintings within the box, in addition to to the utilized statistician or monetary econometrician who wishes the the right way to research organic or monetary time sequence.

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