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Semimartingales and their Statistical Inference

Semimartingales and their Statistical Inference (Hardback, Contains 83 Hardbacks)

By Rao, B. L. S. Prakasa

  • RRP: $329.00
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Discusses the asymptotic theory of semimartingales needed for researchers working in the area of statistical inference for stochastic processes. This book covers topics that include: asymptotic likelihood theory, quasi-likelihood, likelihood and efficiency, inference for counting... read full description below.

ISBN 9781584880080
Barcode 9781584880080
Published 11 May 1999 by Taylor & Francis Inc
Format Hardback, Contains 83 Hardbacks
Alternate Format(s) View All (1 other possible title(s) available)
Series Chapman & Hall/CRC Monographs on Statistics and Applied Probability (part: 83)
Availability
In stock at publisher; ships 6-12 working days

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Full details for this title

ISBN-13 9781584880080
ISBN-10 1584880082
Stock Available
Status In stock at publisher; ships 6-12 working days
Publisher Taylor & Francis Inc
Imprint CRC Press Inc
Publication Date 11 May 1999
Publication Country United States United States
Format Hardback, Contains 83 Hardbacks
Contains Contains 83 Hardbacks
Author(s) By Rao, B. L. S. Prakasa
Series Chapman & Hall/CRC Monographs on Statistics and Applied Probability (part: 83)
Category Probability & Statistics
Mathematical Modelling
Stochastics
Number of Pages 450
Dimensions Width: 152mm
Height: 229mm
Spine: 37mm
Weight 962g
Interest Age General Audience
Reading Age General Audience
Library of Congress Semimartingales (Mathematics), Stochastic analysis
NBS Text Mathematics
ONIX Text Professional and scholarly
Dewey Code 519.2
Catalogue Code Not specified

Description of this Book

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.

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Awards, Reviews & Star Ratings

NZ Review 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,

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Author's Bio

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