| 書(shū)目名稱(chēng) | Parameter Estimation in Stochastic Differential Equations |
| 編輯 | Jaya P. N. Bishwal |
| 視頻video | http://file.papertrans.cn/742/741136/741136.mp4 |
| 概述 | Includes supplementary material: |
| 叢書(shū)名稱(chēng) | Lecture Notes in Mathematics |
| 圖書(shū)封面 |  |
| 描述 | .Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modelling complex phenomena and making beautiful decisions. The subject has attracted researchers from several areas of mathematics and other related fields like economics and finance. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods. Useful because of the current availability of high frequency data is the study of refined asymptotic properties of several estimators when the observation time length is large and the observation time interval is small. Also space time white noise driven models, useful for spatial data, and more sophisticated non-Markovian and non-semimartingale models like fractional diffusions that model the long memory phenomena are examined in this volume.. |
| 出版日期 | Book 2008 |
| 關(guān)鍵詞 | Asymtotic Theory; Diffusion Processes; Discrete Observations; Estimator; Martingale; Ornstein-Uhlenbeck p |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-540-74448-1 |
| isbn_softcover | 978-3-540-74447-4 |
| isbn_ebook | 978-3-540-74448-1Series ISSN 0075-8434 Series E-ISSN 1617-9692 |
| issn_series | 0075-8434 |
| copyright | Springer-Verlag Berlin Heidelberg 2008 |
|Archiver|手機(jī)版|小黑屋|
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