Statistical Inference for Fractional Diffusion Processes Wiley Series in Probability and Statistics 1st Edition by B L S Prakasa Rao ISBN 0470665688 9780470667132

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Product details:

ISBN 10: 0470665688 

ISBN 13: 9780470667132

Author: B. L. S. Prakasa Rao 

Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view.

This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path of the process over a finite interval is observable.

Key features:

• Introduces self-similar processes, fractional Brownian motion and stochastic integration with respect to fractional Brownian motion.
• Provides a comprehensive review of statistical inference for processes driven by fractional Brownian motion for modelling long range dependence.
• Presents a study of parametric and nonparametric inference problems for the fractional diffusion process.
• Discusses the fractional Brownian sheet and infinite dimensional fractional Brownian motion.

• Includes recent results and developments in the area of statistical inference of fractional diffusion processes.

Researchers and students working on the statistics of fractional diffusion processes and applied mathematicians and statisticians involved in stochastic process modelling will benefit from this book.

Table of contents:

1. Fractional Brownian Motion and Related Processes

2. Parametric Estimation for Fractional Diffusion Processes

3. Parametric Estimation for Fractional Ornstein–Uhlenbeck-Type Process

4. Sequential Inference for Some Processes Driven by fBm

5. Nonparametric Inference for Processes Driven by fBm

6. Parametric Inference for Some SDEs Driven by Processes Related to fBm

7. Parametric Estimation for Processes Driven by Fractional Brownian Sheet

8. Parametric Estimation for Processes Driven by Infinite-Dimensional fBm

9. Estimation of Self-Similarity Index

10. Filtering and Prediction for Linear Systems Driven by fBm

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Tags: B L S Prakasa Rao, Statistical, Inference, Fractional, Diffusion, Processes, Wiley, Series, Probability, Statistics