Martingale Methods In Statistics
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Martingale Methods In Statistics
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Author : Yoichi Nishiyama
language : en
Publisher: CRC Press
Release Date : 2021-11-23
Martingale Methods In Statistics written by Yoichi Nishiyama and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-23 with Mathematics categories.
Martingale Methods in Statistics provides a unique introduction to statistics of stochastic processes written with the author’s strong desire to present what is not available in other textbooks. While the author chooses to omit the well-known proofs of some of fundamental theorems in martingale theory by making clear citations instead, the author does his best to describe some intuitive interpretations or concrete usages of such theorems. On the other hand, the exposition of relatively new theorems in asymptotic statistics is presented in a completely self-contained way. Some simple, easy-to-understand proofs of martingale central limit theorems are included. The potential readers include those who hope to build up mathematical bases to deal with high-frequency data in mathematical finance and those who hope to learn the theoretical background for Cox’s regression model in survival analysis. A highlight of the monograph is Chapters 8-10 dealing with Z-estimators and related topics, such as the asymptotic representation of Z-estimators, the theory of asymptotically optimal inference based on the LAN concept and the unified approach to the change point problems via "Z-process method". Some new inequalities for maxima of finitely many martingales are presented in the Appendix. Readers will find many tips for solving concrete problems in modern statistics of stochastic processes as well as in more fundamental models such as i.i.d. and Markov chain models.
Martingale Methods In Statistics
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Author : Yoichi Nishiyama
language : en
Publisher: CRC Press
Release Date : 2021-11-24
Martingale Methods In Statistics written by Yoichi Nishiyama and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-24 with Mathematics categories.
Martingale Methods in Statistics provides a unique introduction to statistics of stochastic processes written with the author’s strong desire to present what is not available in other textbooks. While the author chooses to omit the well-known proofs of some of fundamental theorems in martingale theory by making clear citations instead, the author does his best to describe some intuitive interpretations or concrete usages of such theorems. On the other hand, the exposition of relatively new theorems in asymptotic statistics is presented in a completely self-contained way. Some simple, easy-to-understand proofs of martingale central limit theorems are included. The potential readers include those who hope to build up mathematical bases to deal with high-frequency data in mathematical finance and those who hope to learn the theoretical background for Cox’s regression model in survival analysis. A highlight of the monograph is Chapters 8-10 dealing with Z-estimators and related topics, such as the asymptotic representation of Z-estimators, the theory of asymptotically optimal inference based on the LAN concept and the unified approach to the change point problems via "Z-process method". Some new inequalities for maxima of finitely many martingales are presented in the Appendix. Readers will find many tips for solving concrete problems in modern statistics of stochastic processes as well as in more fundamental models such as i.i.d. and Markov chain models.
Martingale Methods In Statistics
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Author : Slud
language : en
Publisher:
Release Date : 1997-05-01
Martingale Methods In Statistics written by Slud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-05-01 with categories.
Martingale Methods In Statistics
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Author :
language : en
Publisher:
Release Date : 1988
Martingale Methods In Statistics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with categories.
Martingale Methods In Financial Modelling
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Author : Marek Musiela
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Martingale Methods In Financial Modelling written by Marek Musiela and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Mathematics categories.
The origin of this book can be traced to courses on financial mathemat ics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer sci ence, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not as sume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses one at undergraduate level, the other two as graduate courses. The first part of the book deals with the more classical concepts and results of arbitrage pricing theory, developed over the last thirty years and currently widely applied in financial markets. The second part, devoted to interest rate modelling is more subjective and thus less standard. A concise survey of short-term interest rate models is presented. However, the special emphasis is put on recently developed models built upon market interest rates.
Martingale Methods In Statistics
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Author : Mathematisches Forschungsinstitut
language : en
Publisher:
Release Date : 1988
Martingale Methods In Statistics written by Mathematisches Forschungsinstitut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with categories.
Methods And Applications Of Statistics In The Life And Health Sciences
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Author : Narayanaswamy Balakrishnan
language : en
Publisher: John Wiley & Sons
Release Date : 2009-12-02
Methods And Applications Of Statistics In The Life And Health Sciences written by Narayanaswamy Balakrishnan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-02 with Mathematics categories.
Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume outlines the statistical tools for successfully working with modern life and health sciences research Data collection holds an essential part in dictating the future of health sciences and public health, as the compilation of statistics allows researchers and medical practitioners to monitor trends in health status, identify health problems, and evaluate the impact of health policies and programs. Methods and Applications of Statistics in the Life and Health Sciences serves as a single, one-of-a-kind resource on the wide range of statistical methods, techniques, and applications that are applied in modern life and health sciences in research. Specially designed to present encyclopedic content in an accessible and self-contained format, this book outlines thorough coverage of the underlying theory and standard applications to research in related disciplines such as biology, epidemiology, clinical trials, and public health. Uniquely combining established literature with cutting-edge research, this book contains classical works and more than twenty-five new articles and completely revised contributions from the acclaimed Encyclopedia of Statistical Sciences, Second Edition. The result is a compilation of more than eighty articles that explores classic methodology and new topics, including: Sequential methods in biomedical research Statistical measures of human quality of life Change-point methods in genetics Sample size determination for clinical trials Mixed-effects regression models for predicting pre-clinical disease Probabilistic and statistical models for conception Statistical methods are explored and applied to population growth, disease detection and treatment, genetic and genomic research, drug development, clinical trials, screening and prevention, and the assessment of rehabilitation, recovery, and quality of life. These topics are explored in contributions written by more than 100 leading academics, researchers, and practitioners who utilize various statistical practices, such as election bias, survival analysis, missing data techniques, and cluster analysis for handling the wide array of modern issues in the life and health sciences. With its combination of traditional methodology and newly developed research, Methods and Applications of Statistics in the Life and Health Sciences has everything students, academics, and researchers in the life and health sciences need to build and apply their knowledge of statistical methods and applications.
Large Sample Techniques For Statistics
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Author : Jiming Jiang
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-30
Large Sample Techniques For Statistics written by Jiming Jiang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-30 with Mathematics categories.
In a way, the world is made up of approximations, and surely there is no exception in the world of statistics. In fact, approximations, especially large sample approximations, are very important parts of both theoretical and - plied statistics.TheGaussiandistribution,alsoknownasthe normaldistri- tion,is merelyonesuchexample,dueto thewell-knowncentrallimittheorem. Large-sample techniques provide solutions to many practical problems; they simplify our solutions to di?cult, sometimes intractable problems; they j- tify our solutions; and they guide us to directions of improvements. On the other hand, just because large-sample approximations are used everywhere, and every day, it does not guarantee that they are used properly, and, when the techniques are misused, there may be serious consequences. 2 Example 1 (Asymptotic? distribution). Likelihood ratio test (LRT) is one of the fundamental techniques in statistics. It is well known that, in the 2 “standard” situation, the asymptotic null distribution of the LRT is?,with the degreesoffreedomequaltothe di?erencebetweenthedimensions,de?ned as the numbers of free parameters, of the two nested models being compared (e.g., Rice 1995, pp. 310). This might lead to a wrong impression that the 2 asymptotic (null) distribution of the LRT is always? . A similar mistake 2 might take place when dealing with Pearson’s? -test—the asymptotic distri- 2 2 bution of Pearson’s? -test is not always? (e.g., Moore 1978).
From Finite Sample To Asymptotic Methods In Statistics
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Author : Pranab K. Sen
language : en
Publisher: Cambridge University Press
Release Date : 2010
From Finite Sample To Asymptotic Methods In Statistics written by Pranab K. Sen and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
A broad view of exact statistical inference and the development of asymptotic statistical inference.
On Martingale Methods For The Analysis Of Failure Time Data
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Author : Pentti Haara
language : en
Publisher:
Release Date : 1987
On Martingale Methods For The Analysis Of Failure Time Data written by Pentti Haara and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Asymptotes categories.