Parameter Estimation in Stochastic Differential Equations
(Sprache: Englisch)
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume...
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Produktinformationen zu „Parameter Estimation in Stochastic Differential Equations “
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. 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.
Klappentext zu „Parameter Estimation in Stochastic Differential Equations “
Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. 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.
Inhaltsverzeichnis zu „Parameter Estimation in Stochastic Differential Equations “
Continuous Sampling.- Parametric Stochastic Differential Equations.- Rates of Weak Convergence of Estimators in Homogeneous Diffusions.- Large Deviations of Estimators in Homogeneous Diffusions.- Local Asymptotic Mixed Normality for Nonhomogeneous Diffusions.- Bayes and Sequential Estimation in Stochastic PDEs.- Maximum Likelihood Estimation in Fractional Diffusions.- Discrete Sampling.- Approximate Maximum Likelihood Estimation in Nonhomogeneous Diffusions.- Rates of Weak Convergence of Estimators in the Ornstein-Uhlenbeck Process.- Local Asymptotic Normality for Discretely Observed Homogeneous Diffusions.- Estimating Function for Discretely Observed Homogeneous Diffusions.
Bibliographische Angaben
- Autor: Jaya P. N. Bishwal
- 2007, 268 Seiten, Maße: 15,7 x 23,7 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3540744479
- ISBN-13: 9783540744474
- Erscheinungsdatum: 12.10.2007
Sprache:
Englisch
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