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

Format:

Book

Author/Creator:

Prakasa Rao, B. L. S.

Series:

Wiley series in probability and statistics.

Wiley series in probability and statistics

Language:

English

Subjects (All):

Fractional calculus.

Probabilities.

Physical Description:

1 online resource (277 p.)

Edition:

1st ed.

Place of Publication:

Chichester, U.K. : John Wiley & Sons, 2010.

Language Note:

English

Summary:

"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"-- Provided by publisher.

Contents:

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

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [239]-249) and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9786612690372

9780470975763

0470975768

9780470667125

0470667125

9781282690370

128269037X

9780470667132

0470667133

OCLC:

695561313