Semimartingales and their Statistical Inference

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B.L.S. Prakasa Rao (Indian Statistical Institute, New Delhi, India) D.R. Cox (Nuffield College, Oxford University, UK)

Semimartingales and their Statistical Inference

B.L.S. Prakasa Rao (Indian Statistical Institute, New Delhi, India), D.R. Cox (Nuffield College, Oxford University, UK), N. Reid (University of Toronto, Ontario, Canada) , Valerie Isham

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English

CRC Press Inc
11 May 1999

Probability & statistics; Mathematical modelling; Stochastics

Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability

Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and

medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability. The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for

semimartingales.

Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include: Asymptotic likelihood theory Quasi-likelihood Likelihood and efficiency Inference for counting processes Inference for semimartingale regression models The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.

By: B.L.S. Prakasa Rao (Indian Statistical Institute New Delhi India)
Series edited by: D.R. Cox (Nuffield College Oxford University UK), N. Reid (University of Toronto, Ontario, Canada), Valerie Isham, R.J. Tibshirani (Stanford university Stanford University Stanford University, California, USA Stanford University, California, USA)
Imprint: CRC Press Inc
Country of Publication: United States
Volume: 83
Dimensions: Height: 229mm, Width: 152mm, Spine: 37mm
Weight: 1.160kg
ISBN: 9781584880080
ISBN 10: 1584880082
Series: Chapman & Hall/CRC Monographs on Statistics and Applied Probability
Pages: 598
Publication Date: 11 May 1999
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Rao\, B.L.S. Prakasa

Reviews for Semimartingales and their Statistical Inference

"""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,"