Download or read book Asymptotic Theory of Statistical Inference for Time Series written by Masanobu Taniguchi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA, and ARMA processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described. The authors discuss estimation and testing theory and many other relevant statistical methods and techniques.
Download or read book Technical Abstract Bulletin written by and published by . This book was released on with total page 1048 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1991 with total page 1460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
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 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 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 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 858 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 Technical Report written by University of Wisconsin--Madison. Department of Statistics and published by . This book was released on 1972 with total page 840 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Theory of Statistical Inference written by B. L. S. Prakasa Rao and published by . This book was released on 1987-01-16 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probability and stochastic processes; Limit theorems for some statistics; Asymptotic theory of estimation; Linear parametric inference; Martingale approach to inference; Inference in nonlinear regression; Von mises functionals; Empirical characteristic function and its applications.
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 Simulation and Inference for Stochastic Differential Equations written by Stefano M. Iacus and published by Springer Science & Business Media. This book was released on 2009-04-27 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Cyclostationarity Theory and Methods II written by Fakher Chaari and published by Springer. This book was released on 2015-04-15 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reports on the latest advances in the analysis of non-stationary signals, with special emphasis on cyclostationary systems. It includes cutting-edge contributions presented at the 7th Workshop on “Cyclostationary Systems and Their Applications,” which was held in Gródek nad Dunajcem, Poland, in February 2014. The book covers both the theoretical properties of cyclostationary models and processes, including estimation problems for systems exhibiting cyclostationary properties, and several applications of cyclostationary systems, including case studies on gears and bearings, and methods for implementing cyclostationary processes for damage assessment in condition-based maintenance operations. It addresses the needs of students, researchers and professionals in the broad fields of engineering, mathematics and physics, with a special focus on those studying or working with nonstationary and/or cyclostationary processes.
Download or read book Financial Mathematics Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Download or read book Probability Models written by and published by Elsevier. This book was released on 2024-10-24 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probability Models, Volume 51 in the Handbook of Statistics series, highlights new advances in the field, with this new volume presenting interesting chapters on Stein's methods, Probabilities and thermodynamics third law, Random Matrix Theory, General tools for understanding fluctuations of random variables, An approximation scheme to compute the Fisher-Rao distance between multivariate normal distributions, Probability Models Applied to Reliability and Availability Engineering, Backward stochastic differential equation– Stochastic optimization theory and viscous solution of HJB equation, and much more.Additional chapters cover Probability Models in Machine Learning, The recursive stochastic algorithm, randomized urn models and response-adaptive randomization in clinical trials, Random matrix theory: local laws and applications, KOO methods and their high-dimensional consistencies in some multivariate models, Fourteen Lectures on Inference for Stochastic Processes, and A multivariate cumulative damage model and some applications. - Provides the latest information on probability models - Offers outstanding and original reviews on a range of probability models research topics - Serves as an indispensable reference for researchers and students alike
Download or read book Academic Press Library in Signal Processing written by Mats Viberg and published by Academic Press. This book was released on 2013-08-31 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: This third volume, edited and authored by world leading experts, gives a review of the principles, methods and techniques of important and emerging research topics and technologies in array and statistical signal processing. With this reference source you will: - Quickly grasp a new area of research - Understand the underlying principles of a topic and its application - Ascertain how a topic relates to other areas and learn of the research issues yet to be resolved - Quick tutorial reviews of important and emerging topics of research in array and statistical signal processing - Presents core principles and shows their application - Reference content on core principles, technologies, algorithms and applications - Comprehensive references to journal articles and other literature on which to build further, more specific and detailed knowledge - Edited by leading people in the field who, through their reputation, have been able to commission experts to write on a particular topic
Download or read book Statistical Inference for Ergodic Diffusion Processes written by Yu. A. Kutoyants and published by Springer Science & Business Media. This book was released on 2004 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
