rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Statistical methods for stochastic differential equations
  title info:
    title: MATHnetBASE
  name:
    name part: Kessler, Mathieu.
  name:
    name part: Lindner, Alexander
    name part: 1973-
  name:
    name part: Sorensen, Michael.
  name:
    name part: Taylor & Francis
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    date issued: 2012
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxiv, 483 pages)
  abstract: Preface The chapters of this volume represent the revised versions of the main papers given at the seventh Seminaire Europeen de Statistique on Statistics for Stochastic Differential Equations Models, held at La Manga del Mar Menor, Cartagena, Spain, May 7th-12th, 2007. The aim of the Seminaire Europeen de Statistique is to provide talented young researchers with an opportunity to get quickly to the forefront of knowledge and research in areas of statistical science which are of major current interest. As a consequence, this volume is tutorial, following the tradition of the books based on the previous seminars in the series entitled: Networks and Chaos - Statistical and Probabilistic Aspects. Time Series Models in Econometrics, Finance and Other Fields. Stochastic Geometry: Likelihood and Computation. Complex Stochastic Systems. Extreme Values in Finance, Telecommunications and the Environment. Statistics of Spatio-temporal Systems. About 40 young scientists from 15 different nationalities mainly from European countries participated. More than half presented their recent work in short communications; an additional poster session was organized, all contributions being of high quality. The importance of stochastic differential equations as the modeling basis for phenomena ranging from finance to neurosciences has increased dramatically in recent years. Effective and well behaved statistical methods for these models are therefore of great interest. However the mathematical complexity of the involved objects raise theoretical but also computational challenges. The Seminaire and the present book present recent developments that address, on one hand, properties of the statistical structure of the corresponding models and,--
  table of contents: 1. Estimating functions for diffusion-type processes / Michael Sorensen -- 2. The econometrics of high-frequency data / Per A. Mykland and Lan Zhang -- 3. Statistics and high-frequency data / Jean Jacod -- 4. Importance sampling techniques for estimation of diffusion models / Omiros Papaspiliopoulos and Gareth Roberts -- 5. Non-parametric estimation of the coefficients of ergodic diffusion processes based on high-frequency data / Fabienne Comte, Valentine Genon-Catalot, and Yves Rozenholc -- 6. Ornstein-Uhlenbeck related models driven by Levy processes / Peter J. Brockwell and Alexander Lindner -- 7. Parameter estimation for multiscale diffusions : an overview / Grigorios A. Pavliotis, Yvo Pokern, and Andrew M. Stuart.
  note: edited by Mathieu Kessler, Alexander Lindner, Michael Sorensen.
  note: A Chapman and Hall book.
  note: Includes bibliographical references (pages 471-472) and index.
  subject:
    topic: Stochastic differential equations
    topic: Statistical methods
  classification: QA274.23 .S75 2012
  classification: 515.35 S797
  related item:
    identifier: (DLC) 2012005166
  related item:
    title info:
      title: Monographs on statistics and applied probability ; 124
  identifier: 9780429063251
  identifier: 9781439849408
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record creation date: 180331
    record change date: 20220613175936.8
    record identifier: in00004581618