Optimal Statistical Inference In Financial Engineering

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Optimal Statistical Inference In Financial Engineering
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Author : Masanobu Taniguchi
language : en
Publisher: CRC Press
Release Date : 2007-11-26
Optimal Statistical Inference In Financial Engineering written by Masanobu Taniguchi and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-26 with Business & Economics categories.
Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively des
Statistical Inference For Financial Engineering
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Author : Masanobu Taniguchi
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-03-26
Statistical Inference For Financial Engineering written by Masanobu Taniguchi 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 2014-03-26 with Business & Economics categories.
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.
Statistical Inference Via Convex Optimization
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Author : Anatoli Juditsky
language : en
Publisher: Princeton University Press
Release Date : 2020-04-07
Statistical Inference Via Convex Optimization written by Anatoli Juditsky and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-07 with Mathematics categories.
This authoritative book draws on the latest research to explore the interplay of high-dimensional statistics with optimization. Through an accessible analysis of fundamental problems of hypothesis testing and signal recovery, Anatoli Juditsky and Arkadi Nemirovski show how convex optimization theory can be used to devise and analyze near-optimal statistical inferences. Statistical Inference via Convex Optimization is an essential resource for optimization specialists who are new to statistics and its applications, and for data scientists who want to improve their optimization methods. Juditsky and Nemirovski provide the first systematic treatment of the statistical techniques that have arisen from advances in the theory of optimization. They focus on four well-known statistical problems—sparse recovery, hypothesis testing, and recovery from indirect observations of both signals and functions of signals—demonstrating how they can be solved more efficiently as convex optimization problems. The emphasis throughout is on achieving the best possible statistical performance. The construction of inference routines and the quantification of their statistical performance are given by efficient computation rather than by analytical derivation typical of more conventional statistical approaches. In addition to being computation-friendly, the methods described in this book enable practitioners to handle numerous situations too difficult for closed analytical form analysis, such as composite hypothesis testing and signal recovery in inverse problems. Statistical Inference via Convex Optimization features exercises with solutions along with extensive appendixes, making it ideal for use as a graduate text.
Financial Engineering
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Author : Mohit Chatterjee
language : en
Publisher: Educohack Press
Release Date : 2025-02-20
Financial Engineering written by Mohit Chatterjee and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.
"Financial Engineering: Statistics and Data Analysis" is a comprehensive guide tailored for professionals and students navigating the dynamic landscape of finance. We encapsulate the pivotal role of statistics and data analysis in the modern financial industry, where data-driven insights are essential for informed decision-making and risk management. Through a meticulous blend of theoretical foundations and practical applications, this book equips readers with the analytical tools necessary to tackle complex financial challenges with confidence. From understanding key statistical concepts to leveraging advanced data analysis techniques, each chapter deepens the reader's proficiency in analyzing financial data and extracting actionable insights. Whether exploring risk management strategies, portfolio optimization techniques, or financial modeling methodologies, this book serves as a trusted companion for mastering financial analysis intricacies. With real-world examples, case studies, and hands-on exercises, readers are empowered to apply theoretical concepts to real-world scenarios, enhancing their ability to navigate today's financial markets. "Financial Engineering: Statistics and Data Analysis" is not just a textbook; it's a roadmap for success in financial engineering, offering invaluable insights for professionals and students alike.
Research Papers In Statistical Inference For Time Series And Related Models
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Author : Yan Liu
language : en
Publisher: Springer Nature
Release Date : 2023-05-31
Research Papers In Statistical Inference For Time Series And Related Models written by Yan Liu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-31 with Mathematics categories.
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Time Series Analysis Methods And Applications
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Author :
language : en
Publisher: Elsevier
Release Date : 2012-05-18
Time Series Analysis Methods And Applications written by and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-18 with Mathematics categories.
The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Statistical Portfolio Estimation
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Author : Masanobu Taniguchi
language : en
Publisher: CRC Press
Release Date : 2017-09-01
Statistical Portfolio Estimation written by Masanobu Taniguchi and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-01 with Mathematics categories.
The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
International Encyclopedia Of Statistical Science
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Author : Miodrag Lovric
language : en
Publisher: Springer Nature
Release Date : 2025-06-19
International Encyclopedia Of Statistical Science written by Miodrag Lovric and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-19 with Mathematics categories.
The International Encyclopedia of Statistical Science stands as a monumental effort to enrich statistics education globally, particularly in regions facing educational challenges. By amalgamating the expertise of over 700 authors from 110 countries, including Nobel Laureates and presidents of statistical societies, it offers an unparalleled resource for readers worldwide. This encyclopedia is not just a collection of entries; it is a concerted effort to revive statistics as a vibrant, critical field of study and application. Providing a comprehensive and accessible account of statistical terms, methods, and applications, it enables readers to gain a quick insight into the subject, regardless of their background. This work serves to refresh and expand the knowledge of researchers, managers, and practitioners, highlighting the relevance and applicability of statistics across various fields, from economics and business to healthcare and public policy. Furthermore, it aims to inspire students by demonstrating the significance of statistics in solving real-world problems, thus encouraging a new generation to explore and contribute to the field.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-30
Extreme Events In Finance written by Francois Longin 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 2016-09-30 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Heavy Tail Phenomena
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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2007
Heavy Tail Phenomena written by Sidney I. Resnick 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 2007 with Business & Economics categories.
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.