Simulation and Inference for Stochastic Differential Equations (Record no. 38497)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 04138n a2200385#a 4500 |
| 001 - CONTROL NUMBER | |
| control field | 5000067 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20221213140638.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 100301s2008 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780387758398 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-0-387-75839-8 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | 978-0-387-75839-8 |
| 090 ## - IMPA CODE FOR CLASSIFICATION SHELVES | |
| IMPA CODE FOR CLASSIFICATION SHELVES | Matemáticas Gerais-(inclusive alguns textos elementares sobre assuntos específicos) |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Iacus, Stefano M. |
| 9 (RLIN) | 9143 |
| 245 10 - TITLE STATEMENT | |
| Title | Simulation and Inference for Stochastic Differential Equations |
| Medium | [electronic resource]: |
| Remainder of title | With R Examples/ |
| Statement of responsibility, etc. | by Stefano M. Iacus. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | New York: |
| Name of publisher, distributor, etc. | Springer New York, |
| Date of publication, distribution, etc. | 2008. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Other physical details | digital. |
| 490 0# - SERIES STATEMENT | |
| Series statement | Springer Series in Statistics, |
| International Standard Serial Number | 0172-7397; |
| Volume/sequential designation | 1 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Stochastic processes and stochastic differential equations -- Numerical methods for SDE -- Parametric estimation -- Miscellaneous topics. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This book is unique because of its focus on the practical implementation of the simulation and estimation methods presented. The book will be useful to practitioners and students with only a minimal mathematical background because of the many R programs, and to more mathematically-educated practitioners. Many of the methods presented in the book have not been used much in practice because the lack of an implementation in a unified framework. This book fills the gap. With the R code included in this book, a lot of useful methods become easy to use for practitioners and students. An R package called "sde" provides functions with easy interfaces ready to be used on empirical data from real life applications. Although it contains a wide range of results, the book has an introductory character and necessarily does not cover the whole spectrum of simulation and inference for general stochastic differential equations. The book is organized into four chapters. The first one introduces the subject and presents several classes of processes used in many fields of mathematics, computational biology, finance and the social sciences. The second chapter is devoted to simulation schemes and covers new methods not available in other publications. The third one focuses on parametric estimation techniques. In particular, it includes exact likelihood inference, approximated and pseudo-likelihood methods, estimating functions, generalized method of moments, and other techniques. The last chapter contains miscellaneous topics like nonparametric estimation, model identification and change point estimation. The reader who is not an expert in the R language will find a concise introduction to this environment focused on the subject of the book. A documentation page is available at the end of the book for each R function presented in the book. Stefano M. Iacus is associate professor of Probability and Mathematical Statistics at the University of Milan, Department of Economics, Business and Statistics. He has a PhD in Statistics at Padua University, Italy and in Mathematics at Université du Maine, France. He is a member of the R Core team for the development of the R statistical environment, Data Base manager for the Current Index to Statistics, and IMS Group Manager for the Institute of Mathematical Statistics. He has been associate editor of the Journal of Statistical Software . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Statistics. |
| 9 (RLIN) | 43790 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Computer simulation. |
| 9 (RLIN) | 37658 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance. |
| 9 (RLIN) | 16563 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Computer science |
| General subdivision | Mathematics. |
| 9 (RLIN) | 37772 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Mathematical statistics |
| 9 (RLIN) | 43558 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Econometrics |
| 9 (RLIN) | 4014 |
| 697 ## - LOCAL SUBJECT | |
| Local Subject | Matemáticas Gerais- |
| Description subdivision | (inclusive alguns textos elementares sobre assuntos específicos) |
| Linkage | 23752 |
| 710 1# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service). |
| 9 (RLIN) | 8857 |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Printed edition: |
| International Standard Book Number | 9780387758381 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer series in statistics. |
| Volume/sequential designation | 1 |
| 9 (RLIN) | 44309 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://dx.doi.org/10.1007/978-0-387-75839-8">http://dx.doi.org/10.1007/978-0-387-75839-8</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Instituto de Matemática Pura e Aplicada |
| Koha item type | E-Book |
No items available.