Mathieu Kessler, Alexander Lindner, Michael Sorensen

Statistical Methods for Stochastic Differential Equations

• Gebundenes Buch

Produktbeschreibung

The seventh volume in the SemStat series, this book presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible both to new students and seasoned researchers, each chapter starts with introductions to the topics and builds gradually toward discussing recent research. Chapters are self-contained and written by leading researchers from the field. The book includes applications to finance and econometrics and provides relevant software where applicable.

Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• Seitenzahl: 508
• Erscheinungstermin: 17. Mai 2012
• Englisch
• Abmessung: 234mm x 155mm x 33mm
• Gewicht: 839g
• ISBN-13: 9781439849408
• ISBN-10: 1439849404
• Artikelnr.: 33634980

Autorenporträt

Matthieu Kessler, Department of Applied Mathematics and Statistics, University of Cartagena, Spain Alexander Lindner, Institute of Mathematics and Statistics, TU Braunschweig, Germany Michael Sorensen, Department of Mathematical Sciences, University of Copenhagen, Denmark

Inhaltsangabe

Estimating functions for diffusion-type processes. The econometrics of high
frequency data. Statistics and high frequency data. Importance sampling
techniques for estimation of diffusion models. Non parametric estimation of
the coefficients of ergodic diffusion processes based on high frequency
data. Ornstein-Uhlenbeck related models driven by Lévy processes. Parameter
estimation for multiscale diffusions: an overview.