Semimartingales and Their Statistical Inference

ISBN-13: 9780367399757 / Angielski / Miękka / 2019 / 450 str.

B. L. S. Prakasa Rao

Opis

Semimartingales and their Statistical Inference presents a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. It includes applications of stochastic modeling from engineering, economic systems, financial economics, and medical sciences, and presents new and challenging statistical and probabilistic problems for the active researcher. The topics discussed include: asymptotic likelihood theory, quasi-likelihood, likelihood and efficiency, inference for counting processes, and inference for semimartingale regression models.

Recenzje

"This is a book for experienced statisticians and modellers and it is certainly to be recommended for libraries."
--C. C. Heyde, Australian National University, Canberra,

Spis treści

Semimartingales
Exponential Families of Stochastic Processes
Asymptotic Likelihood Theory
Local Asymptotic Behavior of Semimartingales Experiments
Likelihood and Asymptotic Efficiency
Applications to Stochastic Modeling
Appendix
Notes
References

O autorze

Rao, B.L.S. Prakasa