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020 _a9783319123738
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024 7 _a10.1007/978-3-319-12373-8
_2doi
050 4 _aQA273.A1-274.9
050 4 _aQA274-274.9
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082 0 4 _a519.2
_223
100 1 _aBelomestny, Denis.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aLévy Matters IV
_h[electronic resource] :
_bEstimation for Discretely Observed Lévy Processes /
_cby Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2015.
300 _aXV, 286 p. 21 illus., 14 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLévy Matters, A Subseries on Lévy Processes,
_x2190-6637 ;
_v2128
505 0 _aEstimation and calibration of Lévy models via Fourier methods -- Adaptive Estimation for Lévy processes -- Parametric estimation of Lévy processes.
520 _aThe aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Lévy processes. These days, statistics for stochastic processes is a lively topic, driven by the needs of various fields of application, such as finance, the biosciences, and telecommunication. The three chapters of this volume are completely dedicated to the estimation of Lévy processes, and are written by experts in the field. The first chapter by Denis Belomestny and Markus Reiß treats the low frequency situation, and estimation methods are based on the empirical characteristic function. The second chapter by Fabienne Comte and Valery Genon-Catalon is dedicated to non-parametric estimation mainly covering the high-frequency data case. A distinctive feature of this part is the construction of adaptive estimators, based on deconvolution or projection or kernel methods. The last chapter by Hiroki Masuda considers the parametric situation. The chapters cover the main aspects of the estimation of discretely observed Lévy processes, when the observation scheme is regular, from an up-to-date viewpoint.
650 0 _aDistribution (Probability theory.
650 0 _aStatistics.
650 0 _aEconomic theory.
650 1 4 _aProbability Theory and Stochastic Processes.
_0http://scigraph.springernature.com/things/product-market-codes/M27004
650 2 4 _aStatistics for Business, Management, Economics, Finance, Insurance.
_0http://scigraph.springernature.com/things/product-market-codes/S17010
650 2 4 _aEconomic Theory/Quantitative Economics/Mathematical Methods.
_0http://scigraph.springernature.com/things/product-market-codes/W29000
700 1 _aComte, Fabienne.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
700 1 _aGenon-Catalot, Valentine.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
700 1 _aMasuda, Hiroki.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
700 1 _aReiß, Markus.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319123745
776 0 8 _iPrinted edition:
_z9783319123721
830 0 _aLévy Matters, A Subseries on Lévy Processes,
_x2190-6637 ;
_v2128
856 4 0 _uhttps://doi.org/10.1007/978-3-319-12373-8
912 _aZDB-2-SMA
912 _aZDB-2-LNM
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