Download or read book Rates of Convergence and Asymptotic Normality of Curve Estimators for Ergodic Diffusion Processes written by and published by . This book was released on 2000 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rates of Convergence and Asymptotic Normality of Curve Estimators for Ergodic Diffusion Processes written by J. H. van Zanten and published by . This book was released on 2000 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Uniform Convergence of Curve Estimators for Ergodic Diffusion Processes written by J. H. van Zanten and published by . This book was released on 2000 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Curve Estimation written by Murray Rosenblatt and published by IMS. This book was released on 1991 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quadratic Type Contrast Functions for Discretely Observed Non Ergodic Diffusion Processes written by Yasutaka Shimizu and published by . This book was released on 2010 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper deals with parametric inference for discretely observed diffusion processes which may neither be ergodic nor even recurrent. We propose a class of contrast functions, which includes least squares, or local-Gauss type contrast functions. We present a family of conditions for consistency of the minimum contrast estimators, and investigate the rates of convergence. Some examples of contrast functions for estimation of drifts, and for joint estimation of drifts and diffusions are also presented.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1852 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research Reports written by and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Maximum Likelihood Estimation of Discretely Sampled Diffusions written by Yacine Ait-Sahalia and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observation points, or numerical solutions of partial differential equations, to obtain estimates of the function to be maximized. By contrast, we construct a sequence of fully explicit functions which we show converge under very general conditions, including non-ergodicity, to the true (but unknown) likelihood function of the discretely-sampled diffusion. We document that the rate of convergence of the sequence is extremely fast for a number of examples relevant in finance. We then show that maximizing the sequence instead of the true function results in an estimator which converges to the true maximum-likelihood estimator and shares its asymptotic properties of consistency, asymptotic normality and efficiency. Applications to the valuation of derivative securities are also discussed.
Download or read book On Rates of Convergence and Asymptotic Normality in the Multiknapsack Problem written by Sara Anna van de Geer and published by . This book was released on 1989 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Adaptive sequential estimation for ergodic diffusion processes in quadratic metric 2 Asymptotic efficiency written by Leonid I. Gal'čuk and published by . This book was released on 2007 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rate of Convergence in the Central Limit Theorem for Parameter Estimation in a Causal Invertible Arma P Q Model written by Sugata Sen Roy and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we consider the estimators of the parameters of a stable ARMA(p, q) process. The autoregressive parameters are estimated by the instrumental variable technique while the moving average parameters are estimated using a derived autoregressive process. The estimators are shown to be asymptotically normal and their rate of convergence to normality is derived.
Download or read book Current Index to Statistics Applications Methods and Theory written by and published by . This book was released on 1999 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Download or read book Amstat News written by American Statistical Association and published by . This book was released on 2001 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Probability Theory Subject Indexes from Mathematical Reviews written by American Mathematical Society and published by . This book was released on 1987 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2000 with total page 846 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Index and Other Useful Information 501 1000 written by Albrecht Dold and published by . This book was released on 1984 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
