Share
Estimation of Stochastic Processes With Stationary Increments and Cointegrated Sequences (Mathematics and Statistics)
Maksym Luz; Mikhail Moklyachuk (Author)
·
Iste Ltd
· Hardcover
Estimation of Stochastic Processes With Stationary Increments and Cointegrated Sequences (Mathematics and Statistics) - Maksym Luz; Mikhail Moklyachuk
£ 125.06
£ 138.95
You save: £ 13.90
Choose the list to add your product or create one New List
✓ Product added successfully to the Wishlist.
Go to My WishlistsIt will be shipped from our warehouse between
Friday, July 26 and
Tuesday, July 30.
You will receive it anywhere in United Kingdom between 1 and 3 business days after shipment.
Synopsis "Estimation of Stochastic Processes With Stationary Increments and Cointegrated Sequences (Mathematics and Statistics)"
Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes with stationary increments, including ARIMA processes, seasonal time series and a class of cointegrated sequences. Furthermore, this book presents solutions to extrapolation (forecast), interpolation (missed values estimation) and filtering (smoothing) problems based on observations with and without noise, in discrete and continuous time domains. Extending the classical approach applied when the spectral densities of the processes are known, the minimax method of estimation is developed for a case where the spectral information is incomplete and the relations that determine the least favorable spectral densities for the optimal estimations are found.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
✓ Producto agregado correctamente al carro, Ir a Pagar.
