Parameter Estimation in Stochastic Differential Equations
Produktnummer:
18b39421d8a0964fb3875316d6ed0022b1
| Autor: | Bishwal, Jaya P. N. |
|---|---|
| Themengebiete: | Asymtotic Theory Diffusion Processes Discrete Observations Estimator Martingale Ornstein-Uhlenbeck process Parameter Estimation Semimartingale Stochastic Differential Equations modeling |
| Veröffentlichungsdatum: | 12.10.2007 |
| EAN: | 9783540744474 |
| Sprache: | Englisch |
| Seitenzahl: | 268 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer Berlin |
Produktinformationen "Parameter Estimation in Stochastic Differential Equations"
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modelling complex phenomena and making beautiful decisions. The subject has attracted researchers from several areas of mathematics and other related fields like economics and finance. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods. Useful because of the current availability of high frequency data is the study of refined asymptotic properties of several estimators when the observation time length is large and the observation time interval is small. Also space time white noise driven models, useful for spatial data, and more sophisticated non-Markovian and non-semimartingale models like fractional diffusions that model the long memory phenomena are examined in this volume.
Sie möchten lieber vor Ort einkaufen?
Sie haben Fragen zu diesem oder anderen Produkten oder möchten einfach gerne analog im Laden stöbern? Wir sind gerne für Sie da und beraten Sie auch telefonisch.
Juristische Fachbuchhandlung
Georg Blendl
Parcellistraße 5 (Maxburg)
8033 München
Montag - Freitag: 8:15 -18 Uhr
Samstags geschlossen