Semimartingales and their Statistical Inference (eBook, PDF)
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Semimartingales and their Statistical Inference presents a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. It includes applications of stochastic modeling from engineering, economic systems, financial economics, and medical sciences, and presents new and challenging statistical and probabilistic problems for the active researcher. The topics discussed include: asymptotic likelihood theory, quasi-likelihood, likelihood and efficiency, inference for counting processes, an...
Semimartingales and their Statistical Inference presents a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. It includes applications of stochastic modeling from engineering, economic systems, financial economics, and medical sciences, and presents new and challenging statistical and probabilistic problems for the active researcher. The topics discussed include: asymptotic likelihood theory, quasi-likelihood, likelihood and efficiency, inference for counting processes, and inference for semimartingale regression models.
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