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Parameter estimation in stochastic differential equations

Author: Jaya P N Bishwal
Publisher: Berlin : Springer, 2008.
Series: Lecture notes in mathematics, 1923.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jaya P N Bishwal
ISBN: 3540744479 9783540744474
OCLC Number: 255688247
Notes: Literaturverz. S. [245] - 261.
Description: XI, 264 Seiten.
Contents: 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.
Series Title: Lecture notes in mathematics, 1923.
Responsibility: Jaya P.N. Bishwal.
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From the reviews:"This book deals with a variety of statistical inference problems for stochastic differential equations ... . In each chapter the author starts with useful introductory notes clearly Read more...

 
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