Semimartingales and their Statistical Inference

This book gives the state of the are in statistical inference for semimartinglaes with applications, for instance, to engineering, economic systems, financial econimics, and other social, physical, life, and medical sciences. Catalog Copy

List of contents

Semimartingales
Exponential Families of Stochastic Processes
Asymptotic Likelihood Theory
Local Asymptotic Behavior of Semimartingales Experiments
Likelihood and Asymptotic Efficiency
Applications to Stochastic Modeling
Appendix
Notes
References

About the author

Rao\, B.L.S. Prakasa

Summary

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 processes, and inference for semimartingale regression models.

Additional text

"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,

Product details

• Authors: B. L. S. Prakasa Rao, B.L.S. Prakasa Rao, B. L. S. Rao, B. L. S. Prakasa Rao, B.L.S. Prakasa Rao, Prakasa B. L. S. Rao
• Assisted by: D. R. Cox (Editor), N. Reid (Editor), D.R. Cox (Editor of the series), Valerie Isham (Editor of the series), Niels Keiding (Editor of the series), Thomas A. Louis (Editor of the series), N. Reid (Editor of the series), R.J. Tibshirani (Editor of the series), Howell Tong (Editor of the series)
• Publisher: Taylor and Francis
• Languages: English
• Product format: Hardback
• Released: 11.05.1999
• EAN: 9781584880080
• ISBN: 978-1-58488-008-0
• No. of pages: 598
• Weight: 1160 g
• Series: Chapman & Hall/CRC Monographs on Statistics & Applied Probability; CRC Monographs on Statistics &; Chapman & Hall/CRC Monographs on Statistics and Applied Probability; Chapman & Hall/CRC Monographs
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Applied, Probability & statistics, Stochastics, Mathematical modelling, Probability and statistics