Statistical Inference for Ergodic Diffusion Processes

By:

Yury A. Kutoyants

Format:

Hardback

Series:

Springer Series in Statistics

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Description

Statistical Inference for Ergodic Diffusion Processes encompasses a wealth of results from over ten years of mathematical literature. It provides a comprehensive overview of existing techniques, and presents - for the first time in book form - many new techniques and approaches. An elementary introduction to the field at the start of the book introduces a class of examples - both non-standard and classical - that reappear as the investigation progresses to illustrate the merits and demerits of the procedures. The statements of the problems are in the spirit of classical mathematical statistics, and special attention is paid to asymptotically efficient procedures. Today, diffusion processes are widely used in applied problems in fields such as physics, mechanics and, in particular, financial mathematics. This book provides a state-of-the-art reference that will prove invaluable to researchers, and graduate and postgraduate students, in areas such as financial mathematics, economics, physics, mechanics and the biomedical sciences.

Release date Australia

November 27th, 2003

Author

Yury A. Kutoyants

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Illustrations

XIV, 482 p.

Pages

482

Series

Springer Series in Statistics

Dimensions

156x234x26

ISBN-13

9781852337599

Product ID

2042148

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