Download or read book Asymptotic Optimal Inference for Non ergodic Models written by Ishwar V. Basawa and published by . This book was released on 1983 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Optimal Inference for Non ergodic Models written by I. V. Basawa and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph contains a comprehensive account of the recent work of the authors and other workers on large sample optimal inference for non-ergodic models. The non-ergodic family of models can be viewed as an extension of the usual Fisher-Rao model for asymptotics, referred to here as an ergodic family. The main feature of a non-ergodic model is that the sample Fisher information, appropriately normed, converges to a non-degenerate random variable rather than to a constant. Mixture experiments, growth models such as birth processes, branching processes, etc. , and non-stationary diffusion processes are typical examples of non-ergodic models for which the usual asymptotics and the efficiency criteria of the Fisher-Rao-Wald type are not directly applicable. The new model necessitates a thorough review of both technical and qualitative aspects of the asymptotic theory. The general model studied includes both ergodic and non-ergodic families even though we emphasise applications of the latter type. The plan to write the monograph originally evolved through a series of lectures given by the first author in a graduate seminar course at Cornell University during the fall of 1978, and by the second author at the University of Munich during the fall of 1979. Further work during 1979-1981 on the topic has resolved many of the outstanding conceptual and technical difficulties encountered previously. While there are still some gaps remaining, it appears that the mainstream development in the area has now taken a more definite shape.

Download or read book From Statistics to Mathematical Finance written by Dietmar Ferger and published by Springer. This book was released on 2017-10-28 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.

Download or read book Statistical Models written by A. C. Davison and published by Cambridge University Press. This book was released on 2003-08-04 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models and likelihood are the backbone of modern statistics. This 2003 book gives an integrated development of these topics that blends theory and practice, intended for advanced undergraduate and graduate students, researchers and practitioners. Its breadth is unrivaled, with sections on survival analysis, missing data, Markov chains, Markov random fields, point processes, graphical models, simulation and Markov chain Monte Carlo, estimating functions, asymptotic approximations, local likelihood and spline regressions as well as on more standard topics such as likelihood and linear and generalized linear models. Each chapter contains a wide range of problems and exercises. Practicals in the S language designed to build computing and data analysis skills, and a library of data sets to accompany the book, are available over the Web.

Download or read book Advances in Directional and Linear Statistics written by Martin T. Wells and published by Springer Science & Business Media. This book was released on 2010-11-04 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume consists of papers written by students, colleagues and collaborators of Sreenivasa Rao Jammalamadaka from various countries, and covers a variety of research topics which he enjoys and contributed immensely to.

Download or read book Statistical Inference from Stochastic Processes written by Narahari Umanath Prabhu and published by American Mathematical Soc.. This book was released on 1988 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprises the proceedings of the AMS-IMS-SIAM Summer Research Conference on Statistical Inference from Stochastic Processes, held at Cornell University in August 1987. This book provides students and researchers with a familiarity with the foundations of inference from stochastic processes and intends to provide a knowledge of the developments.

Download or read book Parameter Estimation in Stochastic Differential Equations written by Jaya P. N. Bishwal and published by Springer. This book was released on 2007-09-26 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. 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.

Download or read book Differential Geometrical Methods in Statistics written by Shun-ichi Amari and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "In this Lecture Note volume the author describes his differential-geometric approach to parametrical statistical problems summarizing the results he had published in a series of papers in the last five years. The author provides a geometric framework for a special class of test and estimation procedures for curved exponential families. ... ... The material and ideas presented in this volume are important and it is recommended to everybody interested in the connection between statistics and geometry ..." #Metrika#1 "More than hundred references are given showing the growing interest in differential geometry with respect to statistics. The book can only strongly be recommended to a geodesist since it offers many new insights into statistics on a familiar ground." #Manuscripta Geodaetica#2

Download or read book The Analysis of Directional Time Series Applications to Wind Speed and Direction written by Jens Breckling and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given a series of wind speeds and directions from the port of Fremantle the aim of this monograph is to detect general weather patterns and seasonal characteristics. To separate the daily land and sea breeze cycle and other short-term disturbances from the general wind, the series is divided into a daily and a longer term, synoptic component. The latter is related to the atmospheric pressure field, while the former is studied in order i) to isolate particular short-term events such as calms, storms and oscillating winds, and ii) to determine the land and sea breeze cycle which dominates the weather pattern for most of the year. All these patterns are described in detail and are related to the synoptic component of the data. Two time series models for directional data and a new measure of angular association are introduced to provide the basis for certain parts of the analysis.

Download or read book Nonparametric Curve Estimation from Time Series written by Lazlo Györfi and published by Springer. This book was released on 2013-12-21 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because of the sheer size and scope of the plastics industry, the title Developments in Plastics Technology now covers an incredibly wide range of subjects or topics. No single volume can survey the whole field in any depth and what follows is, therefore, a series of chapters on selected topics. The topics were selected by us, the editors, because of their immediate relevance to the plastics industry. When one considers the advancements of the plastics processing machinery (in terms of its speed of operation and conciseness of control), it was felt that several chapters should be included which related to the types of control systems used and the correct usage of hydraulics. The importance of using cellular, rubber-modified and engineering-type plastics has had a major impact on the plastics industry and therefore a chapter on each of these subjects has been included. The two remaining chapters are on the characterisation and behaviour of polymer structures, both subjects again being of current academic or industrial interest. Each of the contributions was written by a specialist in that field and to them all, we, the editors, extend our heartfelt thanks, as writing a contribution for a book such as this, while doing a full-time job, is no easy task.

Download or read book A Road to Randomness in Physical Systems written by Eduardo M.R.A. Engel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are many ways of introducing the concept of probability in classical, i. e, deter ministic, physics. This work is concerned with one approach, known as "the method of arbitrary funetionJ. " It was put forward by Poincare in 1896 and developed by Hopf in the 1930's. The idea is the following. There is always some uncertainty in our knowledge of both the initial conditions and the values of the physical constants that characterize the evolution of a physical system. A probability density may be used to describe this uncertainty. For many physical systems, dependence on the initial density washes away with time. Inthese cases, the system's position eventually converges to the same random variable, no matter what density is used to describe initial uncertainty. Hopf's results for the method of arbitrary functions are derived and extended in a unified fashion in these lecture notes. They include his work on dissipative systems subject to weak frictional forces. Most prominent among the problems he considers is his carnival wheel example, which is the first case where a probability distribution cannot be guessed from symmetry or other plausibility considerations, but has to be derived combining the actual physics with the method of arbitrary functions. Examples due to other authors, such as Poincare's law of small planets, Borel's billiards problem and Keller's coin tossing analysis are also studied using this framework. Finally, many new applications are presented.

Download or read book Maximum Likelihood Estimation of Functional Relationships written by Nico J.D. Nagelkerke and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of functional relationships concerns itself with inference from models with a more complex error structure than those existing in regression models. We are familiar with the bivariate linear relationship having measurement errors in both variables and the fact that the standard regression estimator of the slope underestimates the true slope. One complication with inference about parameters in functional relationships, is that many of the standard properties of likelihood theory do not apply, at least not in the form in which they apply to e.g. regression models. This is probably one of the reasons why these models are not adequately discussed in most general books on statistics, despite their wide applicability. In this monograph we will explore the properties of likelihood methods in the context of functional relationship models. Full and conditional likelihood methods are both considered. Possible modifications to these methods are considered when necessary. Apart from exloring the theory itself, emphasis shall be placed upon the derivation of useful estimators and their second moment properties. No attempt is made to be mathematically rigid. Proofs are usually outlined with extensive use of the Landau 0(.) and 0(.) notations. It is hoped that this shall provide more insight than the inevitably lengthy proofs meeting strict standards of mathematical rigour.

Download or read book Conditionally Specified Distributions written by Barry C. Arnold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of conditional specification is not new. It is likely that earlier investigators in this area were deterred by computational difficulties encountered in the analysis of data following con ditionally specified models. Readily available computing power has swept away that roadblock. A broad spectrum of new flexible models may now be added to the researcher's tool box. This mono graph provides a preliminary guide to these models. Further development of inferential techniques, especially those involving concomitant variables, is clearly called for. We are grateful for invaluable assistance in the preparation of this monograph. In Riverside, Carole Arnold made needed changes in grammer and punctuation and Peggy Franklin miraculously transformed minute hieroglyphics into immaculate typescript. In Santander, Agustin Manrique ex pertly transformed rough sketches into clear diagrams. Finally, we thank the University of Cantabria for financial support which made possible Barry C. Arnold's enjoyable and productive visit to S- tander during the initial stages of the project. Barry C. Arnold Riverside, California USA Enrique Castillo Jose Maria Sarabia Santander, Cantabria Spain January, 1991 Contents 1 Conditional Specification 1 1.1 Why? ............. ........ . 1 1.2 How may one specify a bivariate distribution? 2 1.3 Early work on conditional specification 4 1.4 Organization of this monograph . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 5 2 Basic Theorems 7 Compatible conditionals: The finite discrete case.

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Download or read book Quasi Likelihood And Its Application written by Christopher C. Heyde and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first account in book form of all the essential features of the quasi-likelihood methodology, stressing its value as a general purpose inferential tool. The treatment is rather informal, emphasizing essential principles rather than detailed proofs, and readers are assumed to have a firm grounding in probability and statistics at the graduate level. Many examples of the use of the methods in both classical statistical and stochastic process contexts are provided.

Download or read book The Fascination of Probability Statistics and their Applications written by Mark Podolskij and published by Springer. This book was released on 2015-12-26 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.

Download or read book Generalized Linear Models written by Robert Gilchrist and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: