Statistical Inference for Fractional Diffusion Processes
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Beschreibung
Stochastic processes are widely used for model building in thesocial, physical, engineering and life sciences as well as infinancial economics. In model building, statistical inference forstochastic processes is of great importance from both a theoreticaland an applications point of view.
This book deals with Fractional Diffusion Processes andstatistical inference for such stochastic processes. The main focusof the book is to consider parametric and nonparametric inferenceproblems for fractional diffusion processes when a complete path ofthe process over a finite interval is observable.
Key features:
* Introduces self-similar processes, fractional Brownian motionand stochastic integration with respect to fractional Brownianmotion.
* Provides a comprehensive review of statistical inference forprocesses driven by fractional Brownian motion for modelling longrange dependence.
* Presents a study of parametric and nonparametric inferenceproblems for the fractional diffusion process.
* Discusses the fractional Brownian sheet and infinitedimensional fractional Brownian motion.
* Includes recent results and developments in the area ofstatistical inference of fractional diffusion processes.
Researchers and students working on the statistics of fractionaldiffusion processes and applied mathematicians and statisticiansinvolved in stochastic process modelling will benefit from thisbook.
Autor*in
B. L. S. Prakasa Rao
Themen in »Statistical Inference for Fractional Diffusion Processes«
Angew. Wahrscheinlichkeitsrechn. u. Statistik / Modelle Angewandte Wahrscheinlichkeitsrechnung u. Statistik Applied Probability & Statistics Applied Probability & Statistics - Models Probability & Mathematical Statistics Statistics Statistik Wahrscheinlichkeitsrechnung u. mathematische Statistik
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"Provides a comprehensive review of statistical inference forprocesses driven by fractional Brownian motion for modeling longrange dependence." (Bulletin Bibliographique, 2011)
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