Bayesian Inference of State Space Models : Kalman Filtering and Beyond / Kostas Triantafyllopoulos |
Autore | Triantafyllopoulos, Kostas |
Pubbl/distr/stampa | Cham, : Springer, 2021 |
Descrizione fisica | xv, 495 p. : ill. ; 24 cm |
Soggetto topico |
93E11 - Filtering in stochastic control theory [MSC 2020]
62-XX - Statistics [MSC 2020] 62F15 - Bayesian inference [MSC 2020] 62M10 - Time series, auto-correlation, regression, etc. in statistics (GARCH) [MSC 2020] 62P20 - Applications of statistics to economics [MSC 2020] 62P05 - Applications of statistics to actuarial sciences and financial mathematics [MSC 2020] 91B84 - Economic time series analysis [MSC 2020] 62P30 - Applications of statistics in engineering and industry; control charts [MSC 2020] 93E03 - Stochastic systems in control theory (general) [MSC 2020] 62M20 - Inference from stochastic processes and prediction; filtering [MSC 2020] |
Soggetto non controllato |
Bayesian estimation
Bayesian forecasting Control theory Dynamic models Financial Time Series Non Gaussian time series Sequential Monte Carlo State space in dynamic systems State-space models Stochastic volatility Systems stability Volatility models |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-VAN0274587 |
Triantafyllopoulos, Kostas
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Cham, : Springer, 2021 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Modern SABR Analytics : Formulas and Insights for Quants, Former Physicists and Mathematicians / Alexandre Antonov, Michael Konikov, Michael Spector |
Autore | Antonov, Alexandre |
Pubbl/distr/stampa | Cham, : Springer, 2019 |
Descrizione fisica | ix, 127 p. : ill. ; 24 cm |
Altri autori (Persone) |
Konikov, Michael
Spector, Michael |
Soggetto topico |
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020]
91B24 - Microeconomic theory (price theory and economic markets) [MSC 2020] |
Soggetto non controllato |
Bessel process
Interest Rates Options Quantitative Finance SABR Skew Smile Stochastic volatility |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0127033 |
Antonov, Alexandre
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Cham, : Springer, 2019 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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Time series analysis and its applications : with R examples / Robert H. Shumway, David S. Stoffer |
Autore | Shumway, Robert H. |
Edizione | [4. ed] |
Pubbl/distr/stampa | Cham, : Springer, 2017 |
Descrizione fisica | xiii, 562 p. : ill. ; 24 cm |
Altri autori (Persone) | Stoffer, David S. |
Soggetto topico |
62-XX - Statistics [MSC 2020]
62M10 - Time series, auto-correlation, regression, etc. in statistics (GARCH) [MSC 2020] 62P12 - Applications of statistics to environmental and related topics [MSC 2020] 62M20 - Inference from stochastic processes and prediction; filtering [MSC 2020] 62-08 - Computational methods for problems pertaining to statistics [MSC 2020] |
Soggetto non controllato |
ARIMA models
Categorical time series analysis Dynamic linear models GARCH models Long memory series Markov chain Monte Carlo integration method Multivariate spectral methods Nonlinear models R package Resampling techniques Spectral Analysis State-space analysis Stochastic volatility Wavelets integration method |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0123779 |
Shumway, Robert H.
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Cham, : Springer, 2017 | ||
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Lo trovi qui: Univ. Vanvitelli | ||
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