Statistical Methods for Stochastic Differential Equations: 1st Edition (e-Book) book cover

Statistical Methods for Stochastic Differential Equations

1st Edition

By Mathieu Kessler, Alexander Lindner, Michael Sorensen

Chapman and Hall/CRC

507 pages

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pub: 2012-05-17
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The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to th

Table of Contents

Estimating functions for diffusion-type processes. The econometrics of high frequency data. Statistics and high frequency data. Importance sampling techniques for estimation of diffusion models. Non parametric estimation of the coefficients of ergodic diffusion processes based on high frequency data. Ornstein-Uhlenbeck related models driven by Levy processes. Parameter estimation for multiscale diffusions: an overview.

About the Authors

Matthieu Kessler, Department of Applied Mathematics and Statistics, University of Cartagena, Spain

Alexander Lindner, Institute of Mathematics and Statistics, TU Braunschweig, Germany

Michael Sorensen, Department of Mathematical Sciences, University of Copenhagen, Denmark

Subject Categories

BISAC Subject Codes/Headings:
MATHEMATICS / Differential Equations
MATHEMATICS / Probability & Statistics / General