Statistical Inference for Diffusion Type Processes: Kendall′s Library of Statistics 8: v. 8 - Hardcover

Rao, B.L.S. Prakasa

Hardcover

ISBN 10: 034074149X ISBN 13: 9780340741498

Publisher: Wiley–Blackwell, 1999

Synopsis

Decision making in all spheres of activity involves uncertainty. If rational decisions have to be made, they have to be based on the past observations of the phenomenon in question. Data collection, model building and inference from the data collected, validation of the model and refinement of the model are the key steps or building blocks involved in any rational decision making process. Stochastic processes are widely used for model building in the social, physical, engineering, and life sciences as well as in financial economics. Statistical inference for stochastic processes is of great importance from the theoretical as well as from applications point of view in model building. During the past twenty years, there has been a large amount of progress in the study of inferential aspects for continuous as well as discrete time stochastic processes. Diffusion type processes are a large class of continuous time processes which are widely used for stochastic modelling. the book aims to bring together several methods of estimation of parameters involved in such processes when the process is observed continuously over a period of time or when sampled data is available as generally feasible.

About this title

Review

Reading the text generates new questions, which is indicative of a generous high quality text. The book will be very useful both for applications and for further development of this important area. (Biometrics 2001-03-01)

About the Author

B.L.S. Prakasa Rao is a Professor at the Indian Statistics Institute, New Delhi, India

Edition details

• Publisher: Wiley–Blackwell
• Publication date: 1999
• ISBN 10: 034074149X
• ISBN 13: 9780340741498
• Binding: Hardcover
• Language: English
• Number of pages: 362