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 equipment for Stochastic Differential Equations offers present examine developments and up to date advancements in statistical tools for stochastic differential equations. Written to be available to either new scholars and pro researchers, each one self-contained bankruptcy starts off with introductions to the subject to hand and builds steadily in the direction of discussing fresh examine.

The e-book covers Wiener-driven equations in addition to stochastic differential equations with jumps, together with continuous-time ARMA strategies and COGARCH approaches. It provides a spectrum of estimation tools, together with nonparametric estimation in addition to parametric estimation in line with probability equipment, estimating capabilities, and simulation thoughts. chapters are dedicated to high-frequency information. Multivariate types also are thought of, together with partly saw platforms, asynchronous sampling, assessments for simultaneous jumps, and multiscale diffusions.

Statistical tools for Stochastic Differential Equations comes in handy 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 way to examine organic or monetary time sequence.

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