Statistical inference for fractional diffusion processes / / B.L.S. Prakasa Rao

• Autore: Prakasa Rao B. L. S
• Pubblicazione: Chichester, U.K., : John Wiley & Sons, 2010
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (277 p.)
• Disciplina: 515/.83
• Soggetto topico: Fractional calculus; Probabilities
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. [239]-249) and index.
• Nota di contenuto: Statistical Inference for Fractional Diffusion Processes; Contents; Preface; 1 Fractional Brownian motion and related processes; 2 Parametric estimation for fractional diffusion processes; 3 Parametric estimation for fractional Ornstein-Uhlenbeck-type process; 4 Sequential inference for some processes driven by fBm; 5 Nonparametric inference for processes driven by fBm; 6 Parametric inference for some SDEs driven by processes related to fBm; 7 Parametric estimation for processes driven by fractional Brownian sheet; 8 Parametric estimation for processes driven by infinite-dimensional fBm ; 9 Estimation of self-similarity index10 Filtering and prediction for linear systems driven by fBm; References; Index
• Sommario/riassunto: "Statistical Inference for Fractional Diffusion Processes looks at statistical inference for stochastic processes modeled by stochastic differential equations driven by fractional Brownian motion. Other related processes, such as sequential inference, nonparametric and non parametric inference and parametric estimation are also discussed"--
• Titolo autorizzato: Statistical inference for fractional diffusion processes
• ISBN: 9786612690372; 9780470975763; 0470975768; 9780470667125; 0470667125; 9781282690370; 128269037X; 9780470667132; 0470667133
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910818795303321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley series in probability and statistics.