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007			cr||||||||||||
008			100301s2008 xxu| s |||| 0|eng d
020			_a9780387758398
024	7		_a10.1007/978-0-387-75839-8 _2doi
035			_a978-0-387-75839-8
090			_amg
100	1		_aIacus, Stefano M. _99143
245	1	0	_aSimulation and Inference for Stochastic Differential Equations _h[electronic resource]: _bWith R Examples/ _cby Stefano M. Iacus.
260			_aNew York: _bSpringer New York, _c2008.
300			_bdigital.
490	0		_aSpringer Series in Statistics, _x0172-7397; _v1
505	0		_aStochastic processes and stochastic differential equations -- Numerical methods for SDE -- Parametric estimation -- Miscellaneous topics.
520			_aThis 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	_aStatistics. _943790
650		0	_aComputer simulation. _937658
650		0	_aFinance. _916563
650		0	_aComputer science _xMathematics. _937772
650		0	_aMathematical statistics _943558
650		0	_aEconometrics _94014
697			_aMatemáticas Gerais- _x(inclusive alguns textos elementares sobre assuntos específicos) _923752
710	1		_aSpringerLink (Online service). _98857
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780387758381
830		0	_aSpringer series in statistics. _v1 _944309
856	4	0	_uhttp://dx.doi.org/10.1007/978-0-387-75839-8
942			_2impa _cEBK
999			_aIACUS, Stefano M. <b> Simulation and Inference for Stochastic Differential Equations: </b> With R Examples. New York: Springer New York, 2008. (Springer Series in Statistics, 0172-7397 ; 1). ISBN 9780387758398. Disponível em: <http://dx.doi.org/10.1007/978-0-387-75839-8 > _c38497 _d38497