Pathwise Estimation and Inference for Diffusion Market Models, Dokuchaev, Nikolai
Автор: Anatolyev, Stanislav Gospodinov, Nikolay Название: Methods for estimation and inference in modern econometrics ISBN: 1439838240 ISBN-13(EAN): 9781439838242 Издательство: Taylor&Francis Рейтинг: Цена: 15312.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Methods for Estimation and Inference in Modern Econometrics provides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also addresses several problems often arising in the analysis of economic data, including weak identification, model misspecification, and possible nonstationarity. The book's appendix provides a review of some basic concepts and results from linear algebra, probability theory, and statistics that are used throughout the book.
Topics covered include:
Well-established nonparametric and parametric approaches to estimation and conventional (asymptotic and bootstrap) frameworks for statistical inference
Estimation of models based on moment restrictions implied by economic theory, including various method-of-moments estimators for unconditional and conditional moment restriction models, and asymptotic theory for correctly specified and misspecified models
Non-conventional asymptotic tools that lead to improved finite sample inference, such as higher-order asymptotic analysis that allows for more accurate approximations via various asymptotic expansions, and asymptotic approximations based on drifting parameter sequences
Offering a unified approach to studying econometric problems, Methods for Estimation and Inference in Modern Econometrics links most of the existing estimation and inference methods in a general framework to help readers synthesize all aspects of modern econometric theory. Various theoretical exercises and suggested solutions are included to facilitate understanding.
Автор: Christiane Fuchs Название: Inference for Diffusion Processes ISBN: 3642430171 ISBN-13(EAN): 9783642430176 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book offers an overview of diffusion processes as an instrument for realistically modelling the time-continuous evolution of phenomena in the natural sciences as well as in finance and economics. The theory is demonstrated using real data applications.
Автор: Yury A. Kutoyants Название: Statistical Inference for Ergodic Diffusion Processes ISBN: 184996906X ISBN-13(EAN): 9781849969062 Издательство: Springer Рейтинг: Цена: 21661.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Автор: Efron Название: Large-Scale Inference ISBN: 110761967X ISBN-13(EAN): 9781107619678 Издательство: Cambridge Academ Рейтинг: Цена: 6811.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Modern scientific technology (such as microarrays and fMRI machines) produces data in vast quantities. Bradley Efron explains the empirical Bayes methods that help make sense of a new statistical world. This is essential reading for professional statisticians and graduate students wishing to use and understand important new techniques like false discovery rates.
Автор: Dokuchaev Название: Pathwise Estimation and Inference for Diffusion Market Models ISBN: 1138591645 ISBN-13(EAN): 9781138591646 Издательство: Taylor&Francis Рейтинг: Цена: 17609.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book discusses contemporary techniques for inferring, from options and bond prices, the market participants` aggregate view on important financial parameters such as implied volatility, discount rate, and future interest rate, and their uncertainty thereof.
Автор: Kubilius Название: Parameter Estimation in Fractional Diffusion Models ISBN: 331971029X ISBN-13(EAN): 9783319710297 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.
Автор: Kubilius Kęstutis, Mishura Yuliya, Ralchenko Kostiantyn Название: Parameter Estimation in Fractional Diffusion Models ISBN: 331989031X ISBN-13(EAN): 9783319890319 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.
Автор: Srivastava, Virendera K. , Giles, David E.A. Название: Seemingly Unrelated Regression Equations Models ISBN: 0367451484 ISBN-13(EAN): 9780367451486 Издательство: Taylor&Francis Рейтинг: Цена: 6736.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book brings together the scattered literature associated with the seemingly unrelated regression equations (SURE) model used by econometricians and others. It focuses on the theoretical statistical results associated with the SURE model.
Автор: Hanns L. Harney Название: Bayesian Inference ISBN: 364205577X ISBN-13(EAN): 9783642055775 Издательство: Springer Рейтинг: Цена: 13270.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Solving a longstanding problem in the physical sciences, this text and reference generalizes Gaussian error intervals to situations in which the data follow distributions other than Gaussian. The text is written at introductory level, with many examples and exercises.
Автор: Anatolyev, S. Название: Methods for estimation and inference in modern econometrics ISBN: 0367382660 ISBN-13(EAN): 9780367382667 Издательство: Taylor&Francis Рейтинг: Цена: 9798.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Methods for Estimation and Inference in Modern Econometrics provides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also addresses several problems often arising in the analysis of economic data, including weak identification, model misspecification, and possible nonstationarity. The book's appendix provides a review of some basic concepts and results from linear algebra, probability theory, and statistics that are used throughout the book.
Topics covered include:
Well-established nonparametric and parametric approaches to estimation and conventional (asymptotic and bootstrap) frameworks for statistical inference
Estimation of models based on moment restrictions implied by economic theory, including various method-of-moments estimators for unconditional and conditional moment restriction models, and asymptotic theory for correctly specified and misspecified models
Non-conventional asymptotic tools that lead to improved finite sample inference, such as higher-order asymptotic analysis that allows for more accurate approximations via various asymptotic expansions, and asymptotic approximations based on drifting parameter sequences
Offering a unified approach to studying econometric problems, Methods for Estimation and Inference in Modern Econometrics links most of the existing estimation and inference methods in a general framework to help readers synthesize all aspects of modern econometric theory. Various theoretical exercises and suggested solutions are included to facilitate understanding.
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