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Statistical Inference for Ergodic Diffusion Processes

  • Yury A. Kutoyants

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Yury A. Kutoyants
    Pages 1-16
  3. Yury A. Kutoyants
    Pages 17-110
  4. Yury A. Kutoyants
    Pages 111-226
  5. Yury A. Kutoyants
    Pages 227-307
  6. Yury A. Kutoyants
    Pages 309-419
  7. Yury A. Kutoyants
    Pages 421-460
  8. Back Matter
    Pages 461-482

About this book

Introduction

Statistical Inference for Ergodic Diffusion Processes encompasses a wealth of results from over ten years of mathematical literature. It provides a comprehensive overview of existing techniques, and presents - for the first time in book form - many new techniques and approaches. An elementary introduction to the field at the start of the book introduces a class of examples - both non-standard and classical - that reappear as the investigation progresses to illustrate the merits and demerits of the procedures. The statements of the problems are in the spirit of classical mathematical statistics, and special attention is paid to asymptotically efficient procedures. Today, diffusion processes are widely used in applied problems in fields such as physics, mechanics and, in particular, financial mathematics. This book provides a state-of-the-art reference that will prove invaluable to researchers, and graduate and postgraduate students, in areas such as financial mathematics, economics, physics, mechanics and the biomedical sciences.

From the reviews:

"This book is very much in the Springer mould of graduate mathematical statistics books, giving rapid access to the latest literature...It presents a strong discussion of nonparametric and semiparametric results, from both classical and Bayesian standpoints...I have no doubt that it will come to be regarded as a classic text." Journal of the Royal Statistical Society, Series A, v. 167

Keywords

Diffusion processes Statistical inference Statistical processes Stochastic processes diffusion process mathematical statistics stochastic process

Authors and affiliations

  • Yury A. Kutoyants
    • 1
  1. 1.Laboratoire de Statistique et ProcessusUniversité du MaineLe Mans Cedex 9France

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-3866-2
  • Copyright Information Springer-Verlag London 2004
  • Publisher Name Springer, London
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-84996-906-2
  • Online ISBN 978-1-4471-3866-2
  • Series Print ISSN 0172-7397
  • Buy this book on publisher's site
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