Exponential families of stochastic processes are parametric stochastic p- cess models for which the likelihood function exists at all ?nite times and has an exponential representation where the dimension of the canonical statistic is ?nite and independent of time. This de?nition not only covers manypracticallyimportantstochasticprocessmodels, italsogivesrisetoa rather rich theory. This book aims at showing both aspects of exponential families of stochastic processes. Exponential families of stochastic processes are tractable from an a- lytical as well as a probabilistic point of view....
Exponential families of stochastic processes are parametric stochastic p- cess models for which the likelihood function exists at all ?nite times and ...
A comprehensive account of the statistical theory of exponential families of stochastic processes. The book reviews the progress in the field made over the last ten years or so by the authors - two of the leading experts in the field - and several other researchers. The theory is applied to a broad spectrum of examples, covering a large number of frequently applied stochastic process models with discrete as well as continuous time. To make the reading even easier for statisticians with only a basic background in the theory of stochastic process, the first part of the book is based on...
A comprehensive account of the statistical theory of exponential families of stochastic processes. The book reviews the progress in the field made ove...
Dieses Buch vermittelt ein solides Grundwissen uber Matheorie, indem es die wichtigsten Teile derselben in detaillierten, gut nachvollziehbaren Schritten darlegt sowie mit zahlreichen Beispielen verbindet. Viele Ubungsaufgaben unterschiedlicher Schwierigkeitsgrade unterstutzen dabei das Verstandnis des Stoffes. Zur Selbstkontrolle werden im Anhang Losungen zu samtlichen Ubungsaufgaben angegeben. Anwendungen der Matheorie in der Stochastik werden in Kapiteln uber bedingte Erwartungen und Likelihood-Funktionen aufgezeigt.
Die benotigten Vorkenntnisse sind auf ein Minimum beschrankt,...
Dieses Buch vermittelt ein solides Grundwissen uber Matheorie, indem es die wichtigsten Teile derselben in detaillierten, gut nachvollziehbaren Sch...