カゴの中を見る

商品数:0点

合計:0円

カゴの中を見る

商品を探す

商品カテゴリから選ぶ

商品名を入力

検索結果で出ない商品は

お問い合わせ下さいませ

商品カテゴリ

分野別

商品コード: 9783319710297

Parameter Estimation in Fractional Diffusion

販売価格(税込): 15,345 円  (本体価格: 14,209 円+税)
関連カテゴリ:

分野別 > 数学 > 統計学・確率論

種類別の販売価格、在庫状況を見る
在庫区分
数  量

カゴに入れる

商品おすすめポイント

書名

Parameter Estimation in Fractional Diffusion Models
著者・編者 Kubilius, K. et al.
出版社/発行元 Springer
発行年/月 2018年2月   
装丁 Hardcover
ページ数/巻数 390 ページ
ISBN 978-3-319-71029-7
発送予定 海外倉庫よりお取り寄せ 2-3週間以内に発送します

 

Description

 

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field.

The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.

 

Contents:

 

Description and Properties of the Basic Stochastic Models
The Hurst Index Estimators for a Fractional Brownian Motion
Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Parameter Estimation in the Mixed Models via Power Variations
Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
The Extended Orey Index for Gaussian Processes

種類別の販売価格、在庫状況を見る
在庫区分
数  量

カゴに入れる

この商品に対するお客様の声

 

 

mitsumori

見積書をお送り致します

 

 

  新刊案内など配信中!!

 

このページのTOPへ