
Semimartingales and their Statistical Inference
B.L.S. Prakasa Rao(Author)
CRC Press
1st Edition
Published on 11. May 1999
Book
Hardback
598 pages
978-1-58488-008-0 (ISBN)
Description
Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability.
The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales.
Semimartingales and their Statistical Inference, fills this need by presenting 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. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include:
Asymptotic likelihood theory
Quasi-likelihood
Likelihood and efficiency
Inference for counting processes
Inference for semimartingale regression models
The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.
The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales.
Semimartingales and their Statistical Inference, fills this need by presenting 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. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include:
Asymptotic likelihood theory
Quasi-likelihood
Likelihood and efficiency
Inference for counting processes
Inference for semimartingale regression models
The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.
Reviews / Votes
"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,
More details
Series
Language
English
Place of publication
Bosa Roca
United States
Publishing group
Taylor & Francis Inc
Target group
Professional and scholarly
Professional Practice & Development
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 236 mm
Width: 161 mm
Thickness: 37 mm
Weight
966 gr
ISBN-13
978-1-58488-008-0 (9781584880080)
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

B.L.S. Prakasa Rao
Semimartingales and their Statistical Inference
Book
06/2019
1st Edition
CRC Press
€66.00
Shipment within 15-20 days

B.L.S. Prakasa Rao
Semimartingales and their Statistical Inference
E-Book
01/2019
CRC Press
€89.99
Available for download

B.L.S. Prakasa Rao
Semimartingales and their Statistical Inference
E-Book
01/2019
1st Edition
CRC Press
€89.99
Available for download
Person
Rao\, B.L.S. Prakasa
Content
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
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