- Afhalen na 1 uur in een winkel met voorraad
- Gratis thuislevering in België vanaf € 30
- Ruim aanbod met 7 miljoen producten
- Afhalen na 1 uur in een winkel met voorraad
- Gratis thuislevering in België vanaf € 30
- Ruim aanbod met 7 miljoen producten
Parameter Estimation in Fractional Diffusion Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
€ 126,95
+ 253 punten
Uitvoering
Omschrijving
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.
Specificaties
Betrokkenen
- Auteur(s):
- Uitgeverij:
Inhoud
- Aantal bladzijden:
- 390
- Taal:
- Engels
- Reeks:
- Reeksnummer:
- nr. 8
Eigenschappen
- Productcode (EAN):
- 9783319890319
- Verschijningsdatum:
- 6/06/2019
- Uitvoering:
- Paperback
- Formaat:
- Trade paperback (VS)
- Afmetingen:
- 156 mm x 234 mm
- Gewicht:
- 576 g
Alleen bij Standaard Boekhandel
+ 253 punten op je klantenkaart van Standaard Boekhandel
E-BOOK ACTIE
Beoordelingen
We publiceren alleen reviews die voldoen aan de voorwaarden voor reviews. Bekijk onze voorwaarden voor reviews.