Kód: 01384236
The primary aims of this book are to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA and ARMA processes. A wide variety of s ... celý popis
5094 Kč
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The primary aims of this book are to provide modern statistical techniques and theory for stochastic processes. The stochastic processes mentioned here are not restricted to the usual AR, MA and ARMA processes. A wide variety of stochastic processes, e.g., non-Gaussian linear processes, long-memory processes, non-linear processes, non-ergodic processes and diffusion processes are described. The authors discuss the usual estimation and testing theory and also many other statistical methods and techniques, e.g., discriminant analysis, nonparametric methods, semi-parametric approaches, higher order asymptotic theory in view of differential geometry, large deviation principle and saddlepoint approximation. Because it is difficult to use the exact distribution theory, the discussion is based on the asymptotic theory. The optimality of various procedures is often shown by use of the local asymptotic normality (LAN) which is due to Le Cam. The LAN givesa unified view for the time series asym ptotic theory.
Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics
5094 Kč
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