Statistical inference for fractional diffusion processes:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Chichester
Wiley
2010
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020699536&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XII, 252 S. 24 cm |
| ISBN: | 9780470665688 0470665688 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV036782951 | ||
| 003 | DE-604 | ||
| 005 | 20140618 | ||
| 007 | t| | ||
| 008 | 101117s2010 xx |||| 00||| eng d | ||
| 015 | |a GBB045934 |2 dnb | ||
| 020 | |a 9780470665688 |9 978-0-470-66568-8 | ||
| 020 | |a 0470665688 |9 0-470-66568-8 | ||
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| 035 | |a (DE-599)BVBBV036782951 | ||
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| 084 | |a ST 600 |0 (DE-625)143681: |2 rvk | ||
| 100 | 1 | |a Prakasa Rao, Bhagavatula L. S. |d 1942- |e Verfasser |0 (DE-588)115827994 |4 aut | |
| 245 | 1 | 0 | |a Statistical inference for fractional diffusion processes |c B. L. S. Prakasa Rao |
| 264 | 1 | |a Chichester |b Wiley |c 2010 | |
| 300 | |a XII, 252 S. |c 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Fractional calculus | |
| 650 | 4 | |a Probabilities | |
| 650 | 0 | 7 | |a Wahrscheinlichkeitsrechnung |0 (DE-588)4064324-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Differentialgleichung |0 (DE-588)4012249-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Diffusionsprozess |0 (DE-588)4274463-5 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Differentialgleichung |0 (DE-588)4012249-9 |D s |
| 689 | 0 | 1 | |a Diffusionsprozess |0 (DE-588)4274463-5 |D s |
| 689 | 0 | 2 | |a Wahrscheinlichkeitsrechnung |0 (DE-588)4064324-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020699536&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-020699536 | |
Datensatz im Suchindex
| _version_ | 1819378167076356096 |
|---|---|
| adam_text | Contents
Preface
xi
Fractional Brownian motion and related processes
1
1.1
Introduction
1
1.2
Self-similar processes
2
1.3
Fractional Brownian motion
7
1.4
Stochastic differential equations driven by fBm
24
1.5
Fractional Ornstein-Uhlenbeck-type process
30
1.6
Mixed fBm
33
1.7
Donsker-type approximation for fBm with Hurst index
Я
>
j
35
1.8
Simulation of fBm
36
1.9
Remarks on application of modeling by fBm in mathematical
finance
39
1.10
Pathwise integration with respect to fBm
39
Parametric estimation for fractional diffusion processes
45
2.1
Introduction
45
2.2
SDEs and local asymptotic normality
45
2.3
Parameter estimation for linear SDEs
47
2.4
Maximum likelihood estimation
48
2.5
Bayes
estimation
51
2.6
Berry-Esseen-type bound for MLE
58
2.7
e-upper and lower functions for MLE
60
2.8
Instrumental variable estimation
69
Parametric estimation for fractional Ornstein-Uhlenbeck-type
process
77
3.1
Introduction
77
3.2
Preliminaries
78
3.3
Maximum likelihood estimation
79
3.4
Bayes
estimation
83
3.5
Probabilities of large deviations of MLE and BE
84
3.6
Minimum
L
χ
-norm estimation
93
viii CONTENTS
4
Sequential inference for some processes driven by ffim
101
4.1
Introduction
101
4.2
Sequential maximum likelihood estimation
101
4.3
Sequential testing for simple hypothesis
105
5
Nonparametric inference for processes driven by fBm
115
5.1
Introduction
115
5.2
Identification for linear stochastic systems
115
5.3
Nonparametric estimation of trend
130
6
Parametric inference for some SDEs driven by processes
related to fBm
143
6.1
Introduction
143
6.2
Estimation of the translation of a process driven by fBm
143
6.3
Parametric inference for SDEs with delay governed by fBm
156
6.4
Parametric estimation for linear system of SDEs driven
by fflms with different Hurst indices
163
6.5
Parametric estimation for SDEs driven by mixed fBm
173
6.6
Alternate approach for estimation in models driven by fBm
181
6.7
Maximum likelihood estimation under misspecified model
184
7
Parametric estimation for processes driven by fractional
Brownian sheet
189
7.1
Introduction
189
7.2
Parametric estimation for linear SDEs driven by a fractional
Brownian sheet
189
8
Parametric estimation for processes driven by
infinite-dimensional fBm
205
8.1
Introduction
205
8.2
Parametric estimation for SPDEs driven by
infinite-dimensional fBm
205
8.3
Parametric estimation for stochastic parabolic equations
driven by infinite-dimensional fBm
213
9
Estimation of self-similarity index
219
9.1
Introduction
219
9.2
Estimation of the Hurst index
Я
when
Я
is a constant
and
Ì
<
H
< 1
for fBm
220
9.3
Estimation of scaling exponent function
Я(.)
for locally
self-similar processes
225
10
Filtering and prediction for linear systems driven by fBm
229
10.1
Introduction
229
CONTENTS ix
10.2
Prediction of fBm
229
10.3
Filtering in a simple linear system driven by fBm
230
10.4
General approach for filtering for linear systems
driven by fBms
232
References
239
Index
251
|
| any_adam_object | 1 |
| author | Prakasa Rao, Bhagavatula L. S. 1942- |
| author_GND | (DE-588)115827994 |
| author_facet | Prakasa Rao, Bhagavatula L. S. 1942- |
| author_role | aut |
| author_sort | Prakasa Rao, Bhagavatula L. S. 1942- |
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| building | Verbundindex |
| bvnumber | BV036782951 |
| classification_rvk | SK 850 ST 600 |
| ctrlnum | (OCoLC)659412731 (DE-599)BVBBV036782951 |
| dewey-full | 515/.83 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 515 - Analysis |
| dewey-raw | 515/.83 |
| dewey-search | 515/.83 |
| dewey-sort | 3515 283 |
| dewey-tens | 510 - Mathematics |
| discipline | Informatik Mathematik |
| format | Book |
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| id | DE-604.BV036782951 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T14:41:59Z |
| institution | BVB |
| isbn | 9780470665688 0470665688 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020699536 |
| oclc_num | 659412731 |
| open_access_boolean | |
| owner | DE-634 DE-355 DE-BY-UBR |
| owner_facet | DE-634 DE-355 DE-BY-UBR |
| physical | XII, 252 S. 24 cm |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Wiley |
| record_format | marc |
| spellingShingle | Prakasa Rao, Bhagavatula L. S. 1942- Statistical inference for fractional diffusion processes Fractional calculus Probabilities Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Differentialgleichung (DE-588)4012249-9 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| subject_GND | (DE-588)4064324-4 (DE-588)4012249-9 (DE-588)4274463-5 |
| title | Statistical inference for fractional diffusion processes |
| title_auth | Statistical inference for fractional diffusion processes |
| title_exact_search | Statistical inference for fractional diffusion processes |
| title_full | Statistical inference for fractional diffusion processes B. L. S. Prakasa Rao |
| title_fullStr | Statistical inference for fractional diffusion processes B. L. S. Prakasa Rao |
| title_full_unstemmed | Statistical inference for fractional diffusion processes B. L. S. Prakasa Rao |
| title_short | Statistical inference for fractional diffusion processes |
| title_sort | statistical inference for fractional diffusion processes |
| topic | Fractional calculus Probabilities Wahrscheinlichkeitsrechnung (DE-588)4064324-4 gnd Differentialgleichung (DE-588)4012249-9 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| topic_facet | Fractional calculus Probabilities Wahrscheinlichkeitsrechnung Differentialgleichung Diffusionsprozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020699536&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT prakasaraobhagavatulals statisticalinferenceforfractionaldiffusionprocesses |