E-Book, Englisch, Band 1923, 268 Seiten, eBook
Reihe: Lecture Notes in Mathematics
Bishwal Parameter Estimation in Stochastic Differential Equations
2008
ISBN: 978-3-540-74448-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, Band 1923, 268 Seiten, eBook
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-540-74448-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
