Statistical Methods for Stochastic Differential Equations
1st Edition
Published on 17. May 2012
Book
Hardback
508 pages
978-1-4398-4940-8 (ISBN)
Description
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research.
The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions.
Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions.
Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
Reviews / Votes
"... an excellent resource for anyone currently active in research in this area, interested in getting into research in the area, or just interested in the topic. I cannot think of another source that provides detailed yet accessible introductions of this quality and timeliness to the major issues of interest in this area. ... As noted in the preface, the idea is to get young researchers 'quickly to the forefront of knowledge and research.' ... The book succeeds in delivering on this goal. A careful reading of the chapters of this book would go a long way toward putting one in a position to begin contributing to the large and rapidly growing body of research in this important area of statistics. It would certainly be an excellent resource for teaching advanced Ph.D. courses. ... This is a wonderful book for anyone interested in SDEs. I highly recommend it and am happy to have it on my bookshelf."-Garland B. Durham, Journal of the American Statistical Association, March 2014
"The contributors are all renowned specialists in the field ... the last four chapters are generally well written, informative, and cover a wide range of different aspects of statistics for SDE ... the first three chapters ... constitute an original and very useful contribution in a field that too often has the reputation of being technical and somehow austere. ... I strongly recommend the book for anyone interested in the wide topic of statistical methods for SDE, whether she or he is a specialist or a student starting in the field."
-Marc Hoffmann, Universite Paris-Dauphine Sorensen, CHANCE, 26.3
"... a good collection of useful and interesting articles ... [I have] no hesitation in recommending the book."
-Tusheng Zhang, Journal of Time Series Analysis, 2013
More details
Series
Language
English
Place of publication
Oxford
United States
Publishing group
Taylor & Francis Inc
Target group
College/higher education
Researchers and graduate students in statistics, mathematics, finance, and econometrics.
Illustrations
17 s/w Abbildungen, 1 s/w Tabelle
1 Tables, black and white; 17 Illustrations, black and white
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 32 mm
Weight
922 gr
ISBN-13
978-1-4398-4940-8 (9781439849408)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Mathieu Kessler | Alexander Lindner | Michael Sorensen
Statistical Methods for Stochastic Differential Equations
E-Book
05/2012
1st Edition
Chapman & Hall/CRC
€73.49
Available for download
Mathieu Kessler | Alexander Lindner | Michael Sorensen
Statistical Methods for Stochastic Differential Equations
E-Book
05/2012
Chapman and Hall
€73.99
Available for download
Persons
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
Alexander Lindner, Institute of Mathematics and Statistics, TU Braunschweig, Germany
Michael Sorensen, Department of Mathematical Sciences, University of Copenhagen, Denmark
Content
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 Levy processes. Parameter estimation for multiscale diffusions: an overview.