Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Download or read book Expansions and Asymptotics for Statistics written by Christopher G. Small and published by CRC Press. This book was released on 2010-05-07 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic methods provide important tools for approximating and analysing functions that arise in probability and statistics. Moreover, the conclusions of asymptotic analysis often supplement the conclusions obtained by numerical methods. Providing a broad toolkit of analytical methods, Expansions and Asymptotics for Statistics shows how asymptoti
Download or read book Sequential Estimation written by Malay Ghosh and published by John Wiley & Sons. This book was released on 2011-09-09 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only comprehensive guide to the theory and practice of one oftoday's most important probabilistic techniques The past 15 years have witnessed many significant advances insequential estimation, especially in the areas of three-stage andnonparametric methodology. Yet, until now, there were no referencesdevoted exclusively to this rapidly growing statisticalfield. Sequential Estimation is the first, single-source guide to thetheory and practice of both classical and modern sequentialestimation techniques--including parametric and nonparametricmethods. Researchers in sequential analysis will appreciate theunified, logically integrated treatment of the subject, as well ascoverage of important contemporary procedures not covered in moregeneral sequential analysis texts, such as: * Shrinkage estimation * Empirical and hierarchical Bayes procedures * Multistage sampling and accelerated sampling procedures * Time-sequential estimation * Sequential estimation in finite population sampling * Reliability estimation and capture-recapture methodologiesleading to sequential tagging schemes An indispensable resource for researchers in sequential analysis,Sequential Estimation is an ideal graduate-level text as well.
Download or read book Inference Asymptotics and Applications written by Nancy Reid and published by World Scientific. This book was released on 2017-03-10 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book showcases the innovative research of Professor Skovgaard, by providing in one place a selection of his most important and influential papers. Introductions by colleagues set in context the highlights, key achievements, and impact, of each work. This book provides a survey of the field of asymptotic theory and inference as it was being pushed forward during an exceptionally fruitful time. It provides students and researchers with an overview of many aspects of the field.
Download or read book Robust Statistics written by Peter J. Huber and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of the classic, groundbreaking book on robust statistics Over twenty-five years after the publication of its predecessor, Robust Statistics, Second Edition continues to provide an authoritative and systematic treatment of the topic. This new edition has been thoroughly updated and expanded to reflect the latest advances in the field while also outlining the established theory and applications for building a solid foundation in robust statistics for both the theoretical and the applied statistician. A comprehensive introduction and discussion on the formal mathematical background behind qualitative and quantitative robustness is provided, and subsequent chapters delve into basic types of scale estimates, asymptotic minimax theory, regression, robust covariance, and robust design. In addition to an extended treatment of robust regression, the Second Edition features four new chapters covering: Robust Tests Small Sample Asymptotics Breakdown Point Bayesian Robustness An expanded treatment of robust regression and pseudo-values is also featured, and concepts, rather than mathematical completeness, are stressed in every discussion. Selected numerical algorithms for computing robust estimates and convergence proofs are provided throughout the book, along with quantitative robustness information for a variety of estimates. A General Remarks section appears at the beginning of each chapter and provides readers with ample motivation for working with the presented methods and techniques. Robust Statistics, Second Edition is an ideal book for graduate-level courses on the topic. It also serves as a valuable reference for researchers and practitioners who wish to study the statistical research associated with robust statistics.
Download or read book Directions in Robust Statistics and Diagnostics written by Werner Stahel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications DIRECTIONS IN ROBUST STATISTICS AND DIAGNOSTICS is based on the proceedings of the first four weeks of the six week IMA 1989 summer program "Robustness, Diagnostics, Computing and Graphics in Statistics". An important objective of the organizers was to draw a broad set of statisticians working in robustness or diagnostics into collaboration on the challenging problems in these areas, particularly on the interface between them. We thank the organizers of the robustness and diagnostics program Noel Cressie, Thomas P. Hettmansperger, Peter J. Huber, R. Douglas Martin, and especially Werner Stahel and Sanford Weisberg who edited the proceedings. A vner Friedman Willard Miller, Jr. PREFACE Central themes of all statistics are estimation, prediction, and making decisions under uncertainty. A standard approach to these goals is through parametric mod elling. Parametric models can give a problem sufficient structure to allow standard, well understood paradigms to be applied to make the required inferences. If, how ever, the parametric model is not completely correct, then the standard inferential methods may not give reasonable answers. In the last quarter century, particularly with the advent of readily available computing, more attention has been paid to the problem of inference when the parametric model used is not correctly specified.
Download or read book Contemporary Developments in Statistical Theory written by Soumendra Lahiri and published by Springer Science & Business Media. This book was released on 2013-12-02 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Asymptotics Nonparametrics and Time Series written by Subir Ghosh and published by CRC Press. This book was released on 1999-02-18 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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."
Download or read book Small Sample Asymptotics written by Christopher A. Field and published by IMS. This book was released on 1990 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Econometrics written by James J. Heckman and published by Elsevier. This book was released on 2009-01-13 with total page 1057 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Resampling Methods for Dependent Data written by S. N. Lahiri and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: By giving a detailed account of bootstrap methods and their properties for dependent data, this book provides illustrative numerical examples throughout. The book fills a gap in the literature covering research on re-sampling methods for dependent data that has witnessed vigorous growth over the last two decades but remains scattered in various statistics and econometrics journals. It can be used as a graduate level text and also as a research monograph for statisticians and econometricians.
Download or read book Research in Progress written by and published by . This book was released on 1980 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The First Erich L Lehmann Symposium written by Javier Rojo and published by IMS. This book was released on 2004 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Works of Peter J Bickel written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2012-11-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents selections of Peter J. Bickel’s major papers, along with comments on their novelty and impact on the subsequent development of statistics as a discipline. Each of the eight parts concerns a particular area of research and provides new commentary by experts in the area. The parts range from Rank-Based Nonparametrics to Function Estimation and Bootstrap Resampling. Peter’s amazing career encompasses the majority of statistical developments in the last half-century or about about half of the entire history of the systematic development of statistics. This volume shares insights on these exciting statistical developments with future generations of statisticians. The compilation of supporting material about Peter’s life and work help readers understand the environment under which his research was conducted. The material will also inspire readers in their own research-based pursuits. This volume includes new photos of Peter Bickel, his biography, publication list, and a list of his students. These give the reader a more complete picture of Peter Bickel as a teacher, a friend, a colleague, and a family man.
Download or read book Selected Papers on Probability and Statistics written by and published by American Mathematical Soc.. This book was released on 2009 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains translations of papers that originally appeared in the Japanese journal Sugaku. The papers range over a variety of topics in probability theory, statistics, and applications. This volume is suitable for graduate students and research mathematicians interested in probability and statistics.
Download or read book Multivariate Statistics and Probability written by C. R. Rao and published by Academic Press. This book was released on 2014-05-10 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate Statistics and Probability: Essays in Memory of Paruchuri R. Krishnaiah is a collection of essays on multivariate statistics and probability in memory of Paruchuri R. Krishnaiah (1932-1987), who made significant contributions to the fields of multivariate statistical analysis and stochastic theory. The papers cover the main areas of multivariate statistical theory and its applications, as well as aspects of probability and stochastic analysis. Topics range from finite sampling and asymptotic results, including aspects of decision theory, Bayesian analysis, classical estimation, regression, and time-series problems. Comprised of 35 chapters, this book begins with a discussion on the joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population. The reader is then introduced to kernel estimators of density function of directional data; moment conditions for valid formal edgeworth expansions; and ergodicity and central limit theorems for a class of Markov processes. Subsequent chapters focus on minimal complete classes of invariant tests for equality of normal covariance matrices and sphericity; normed likelihood as saddlepoint approximation; generalized Gaussian random fields; and smoothness properties of the conditional expectation in finitely additive white noise filtering. This monograph should be of considerable interest to researchers as well as to graduate students working in theoretical and applied statistics, multivariate analysis, and random processes.
Download or read book Rabi N Bhattacharya written by Manfred Denker and published by Birkhäuser. This book was released on 2016-06-30 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents some of the most influential papers published by Rabi N. Bhattacharya, along with commentaries from international experts, demonstrating his knowledge, insight, and influence in the field of probability and its applications. For more than three decades, Bhattacharya has made significant contributions in areas ranging from theoretical statistics via analytical probability theory, Markov processes, and random dynamics to applied topics in statistics, economics, and geophysics. Selected reprints of Bhattacharya’s papers are divided into three sections: Modes of Approximation, Large Times for Markov Processes, and Stochastic Foundations in Applied Sciences. The accompanying articles by the contributing authors not only help to position his work in the context of other achievements, but also provide a unique assessment of the state of their individual fields, both historically and for the next generation of researchers. Rabi N. Bhattacharya: Selected Papers will be a valuable resource for young researchers entering the diverse areas of study to which Bhattacharya has contributed. Established researchers will also appreciate this work as an account of both past and present developments and challenges for the future.
