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Statistical methods for stochastic differential equations /

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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 Euro...

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Bibliographic Details
Corporate Author: Taylor & Francis
Other Authors: Kessler, Mathieu, Lindner, Alexander, 1973-, Sorensen, Michael
Format: eBook
Language:English
Published: Boca Raton : CRC Press, 2012.
Series:Monographs on statistics and applied probability ; 124.
Subjects:
Stochastic differential equations > Statistical methods.
Electronic books.
Online Access:Connect to the full text of this electronic book
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.