Simulation and Inference for Stochastic Differential Equations
Produktnummer:
18509c739b9dce40e887d2dd406390a35c
| Autor: | Iacus, Stefano M. |
|---|---|
| Themengebiete: | Information Likelihood Simulation Stochastic Processes compuational statistics inference for stochastic processes numerical methods simulation methods stochastic differential equations stochastic process |
| Veröffentlichungsdatum: | 05.05.2008 |
| EAN: | 9780387758381 |
| Sprache: | Englisch |
| Seitenzahl: | 285 |
| Produktart: | Gebunden |
| Verlag: | Springer US |
| Untertitel: | With R Examples |
Produktinformationen "Simulation and Inference for Stochastic Differential Equations"
This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too. Many of the methods presented in the book have, so far, not been used much in practice because of the lack of an implementation in a unified framework. Iacus’ book bridges this gap. With the R code included, a lot of useful methods become easy to use.
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