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 learn developments and up to date advancements in statistical equipment for stochastic differential equations. Written to be obtainable to either new scholars and professional researchers, every one self-contained bankruptcy starts off with introductions to the subject to hand and builds steadily in the direction of discussing fresh examine.

The ebook covers Wiener-driven equations in addition to stochastic differential equations with jumps, together with continuous-time ARMA techniques and COGARCH methods. It provides a spectrum of estimation tools, together with nonparametric estimation in addition to parametric estimation in accordance with chance equipment, estimating capabilities, and simulation recommendations. chapters are dedicated to high-frequency information. Multivariate types also are thought of, together with in part saw platforms, asynchronous sampling, checks 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 study organic or monetary time sequence.

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