Estimation Of Stochastic Processes With Stationary Increments And Cointegrated Sequences

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Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Author : Maksym Luz
Publisher : John Wiley & Sons
ISBN 13 : 1786305038
Total Pages : 308 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences by : Maksym Luz

Download or read book Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences written by Maksym Luz and published by John Wiley & Sons. This book was released on 2019-12-12 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes with stationary increments, including ARIMA processes, seasonal time series and a class of cointegrated sequences. Furthermore, this book presents solutions to extrapolation (forecast), interpolation (missed values estimation) and filtering (smoothing) problems based on observations with and without noise, in discrete and continuous time domains. Extending the classical approach applied when the spectral densities of the processes are known, the minimax method of estimation is developed for a case where the spectral information is incomplete and the relations that determine the least favorable spectral densities for the optimal estimations are found.

Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Author : Maksym Luz
Publisher : John Wiley & Sons
ISBN 13 : 1119663520
Total Pages : 314 pages
Book Rating : 4.1/5 (196 download)

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Book Synopsis Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences by : Maksym Luz

Download or read book Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences written by Maksym Luz and published by John Wiley & Sons. This book was released on 2019-09-20 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes with stationary increments, including ARIMA processes, seasonal time series and a class of cointegrated sequences. Furthermore, this book presents solutions to extrapolation (forecast), interpolation (missed values estimation) and filtering (smoothing) problems based on observations with and without noise, in discrete and continuous time domains. Extending the classical approach applied when the spectral densities of the processes are known, the minimax method of estimation is developed for a case where the spectral information is incomplete and the relations that determine the least favorable spectral densities for the optimal estimations are found.

Non-Stationary Stochastic Processes Estimation

Author : Maksym Luz
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 311132625X
Total Pages : 381 pages
Book Rating : 4.1/5 (113 download)

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Book Synopsis Non-Stationary Stochastic Processes Estimation by : Maksym Luz

Download or read book Non-Stationary Stochastic Processes Estimation written by Maksym Luz and published by Walter de Gruyter GmbH & Co KG. This book was released on 2024-05-20 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observations from noise, is magnified in an information-laden word. Methods of stochastic processes estimation depend on two main factors. The first factor is construction of a model of the process being investigated. The second factor is the available information about the structure of the process under consideration. In this book, we propose results of the investigation of the problem of mean square optimal estimation (extrapolation, interpolation, and filtering) of linear functionals depending on unobserved values of stochastic sequences and processes with periodically stationary and long memory multiplicative seasonal increments. Formulas for calculating the mean square errors and the spectral characteristics of the optimal estimates of the functionals are derived in the case of spectral certainty, where spectral structure of the considered sequences and processes are exactly known. In the case where spectral densities of the sequences and processes are not known exactly while some sets of admissible spectral densities are given, we apply the minimax-robust method of estimation.

Stationary Stochastic Processes for Scientists and Engineers

Author : Georg Lindgren
Publisher : CRC Press
ISBN 13 : 1466586192
Total Pages : 316 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Stationary Stochastic Processes for Scientists and Engineers by : Georg Lindgren

Download or read book Stationary Stochastic Processes for Scientists and Engineers written by Georg Lindgren and published by CRC Press. This book was released on 2013-10-11 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suitable for a one-semester course, this text teaches students how to use stochastic processes efficiently. Carefully balancing mathematical rigor and ease of exposition, the book provides students with a sufficient understanding of the theory and a practical appreciation of how it is used in real-life situations. Special emphasis is on the interpretation of various statistical models and concepts as well as the types of questions statistical analysis can answer. To enable hands-on practice, MATLAB code is available online.

Stochastic Processes

Author : Robert G. Gallager
Publisher : Cambridge University Press
ISBN 13 : 1107435315
Total Pages : 559 pages
Book Rating : 4.1/5 (74 download)

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Book Synopsis Stochastic Processes by : Robert G. Gallager

Download or read book Stochastic Processes written by Robert G. Gallager and published by Cambridge University Press. This book was released on 2013-12-12 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Stochastic Processes

Author : Kaddour Najim
Publisher : Elsevier
ISBN 13 : 008051779X
Total Pages : 345 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Stochastic Processes by : Kaddour Najim

Download or read book Stochastic Processes written by Kaddour Najim and published by Elsevier. This book was released on 2004-07-01 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: A ‘stochastic’ process is a ‘random’ or ‘conjectural’ process, and this book is concerned with applied probability and statistics. Whilst maintaining the mathematical rigour this subject requires, it addresses topics of interest to engineers, such as problems in modelling, control, reliability maintenance, data analysis and engineering involvement with insurance.This book deals with the tools and techniques used in the stochastic process – estimation, optimisation and recursive logarithms – in a form accessible to engineers and which can also be applied to Matlab. Amongst the themes covered in the chapters are mathematical expectation arising from increasing information patterns, the estimation of probability distribution, the treatment of distribution of real random phenomena (in engineering, economics, biology and medicine etc), and expectation maximisation. The latter part of the book considers optimization algorithms, which can be used, for example, to help in the better utilization of resources, and stochastic approximation algorithms, which can provide prototype models in many practical applications. * An engineering approach to applied probabilities and statistics * Presents examples related to practical engineering applications, such as reliability, randomness and use of resources* Readers with varying interests and mathematical backgrounds will find this book accessible

Stochastic Processes: Theory and Methods

Author : D N Shanbhag
Publisher : Gulf Professional Publishing
ISBN 13 : 9780444500144
Total Pages : 990 pages
Book Rating : 4.5/5 (1 download)

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Book Synopsis Stochastic Processes: Theory and Methods by : D N Shanbhag

Download or read book Stochastic Processes: Theory and Methods written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2001 with total page 990 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.

Stochastic Processes

Author : Narahari Umanath Prabhu
Publisher : World Scientific
ISBN 13 : 9812706267
Total Pages : 356 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Stochastic Processes by : Narahari Umanath Prabhu

Download or read book Stochastic Processes written by Narahari Umanath Prabhu and published by World Scientific. This book was released on 2007 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications. Written in a simple and accessible manner, this book addresses that inadequacy and provides guidelines and tools to study the applications. The coverage includes research developments in Markov property, martingales, regenerative phenomena and Tauberian theorems, and covers measure theory at an elementary level.

Series Estimation of Stochastic Processes

Author : Peter C. B. Phillips
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Series Estimation of Stochastic Processes by : Peter C. B. Phillips

Download or read book Series Estimation of Stochastic Processes written by Peter C. B. Phillips and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper overviews recent developments in series estimation of stochastic processes and some of their applications in econometrics. Underlying this approach is the idea that a stochastic process may under certain conditions be represented in terms of a set of orthonormal basis functions, giving a series representation that involves deterministic functions. Several applications of this series approximation method are discussed. The first shows how a continuous function can be approximated by a linear combination of Brownian motions (BMs), which is useful in the study of the spurious regressions. The second application utilizes the series representation of BM to investigate the effect of the presence of deterministic trends in a regression on traditional unit-root tests. The third uses basis functions in the series approximation as instrumental variables (IVs) to perform efficient estimation of the parameters in cointegrated systems. The fourth application proposes alternative estimators of long-run variances in some econometric models with dependent data, thereby providing autocorrelation robust inference methods in these models. We review some work related to these applications and some ongoing research involving series approximation methods.

Complex Stochastic Processes

Author : Kenneth S. Miller
Publisher : Addison Wesley Publishing Company
ISBN 13 :
Total Pages : 270 pages
Book Rating : 4.:/5 (43 download)

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Book Synopsis Complex Stochastic Processes by : Kenneth S. Miller

Download or read book Complex Stochastic Processes written by Kenneth S. Miller and published by Addison Wesley Publishing Company. This book was released on 1974 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Theory and Statistical Applications of Stochastic Processes

Author : Yuliya Mishura
Publisher : John Wiley & Sons
ISBN 13 : 1119476631
Total Pages : 406 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Theory and Statistical Applications of Stochastic Processes by : Yuliya Mishura

Download or read book Theory and Statistical Applications of Stochastic Processes written by Yuliya Mishura and published by John Wiley & Sons. This book was released on 2017-11-29 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It combines classic topics such as construction of stochastic processes, associated filtrations, processes with independent increments, Gaussian processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to Gaussian processes, Itȏ integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.

An Introduction to Stochastic Processes

Author : Adhir K. Basu
Publisher : Narosa Publishing House
ISBN 13 :
Total Pages : 440 pages
Book Rating : 4.X/5 (4 download)

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Book Synopsis An Introduction to Stochastic Processes by : Adhir K. Basu

Download or read book An Introduction to Stochastic Processes written by Adhir K. Basu and published by Narosa Publishing House. This book was released on 2003 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed for college mathematics students at all levels, this book grew from the author's lectures for advanced undergraduate courses at Canadian and United States universities, and from a postgraduate course at Calcutta University. It introduces discrete time Markov chain and second order stochastic analysis, and includes discussions of renewal theory, time series analysis, queuing theory, Brownian motions, and martingale theorems.

Introduction to Stochastic Processes

Author : Erhan Cinlar
Publisher : Courier Corporation
ISBN 13 : 0486276325
Total Pages : 418 pages
Book Rating : 4.4/5 (862 download)

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Book Synopsis Introduction to Stochastic Processes by : Erhan Cinlar

Download or read book Introduction to Stochastic Processes written by Erhan Cinlar and published by Courier Corporation. This book was released on 2013-02-20 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Clear presentation employs methods that recognize computer-related aspects of theory. Topics include expectations and independence, Bernoulli processes and sums of independent random variables, Markov chains, renewal theory, more. 1975 edition.

Introduction to Stochastic Processes

Author : Paul G. Hoel
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Introduction to Stochastic Processes by : Paul G. Hoel

Download or read book Introduction to Stochastic Processes written by Paul G. Hoel and published by . This book was released on 1972 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov chains; Stationary distributions of a markov chain; Markov pure jump processes; Second order processes; Continuity, integration, and differentiation of second order processes; Stochastic differential equations, estimation theory, and spectral distribution.

Introduction to Stochastic Processes Using R

Author : Sivaprasad Madhira
Publisher : Springer Nature
ISBN 13 : 9819956013
Total Pages : 663 pages
Book Rating : 4.8/5 (199 download)

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Book Synopsis Introduction to Stochastic Processes Using R by : Sivaprasad Madhira

Download or read book Introduction to Stochastic Processes Using R written by Sivaprasad Madhira and published by Springer Nature. This book was released on 2023-12-05 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook presents some basic stochastic processes, mainly Markov processes. It begins with a brief introduction to the framework of stochastic processes followed by the thorough discussion on Markov chains, which is the simplest and the most important class of stochastic processes. The book then elaborates the theory of Markov chains in detail including classification of states, the first passage distribution, the concept of periodicity and the limiting behaviour of a Markov chain in terms of associated stationary and long run distributions. The book first illustrates the theory for some typical Markov chains, such as random walk, gambler's ruin problem, Ehrenfest model and Bienayme-Galton-Watson branching process; and then extends the discussion when time parameter is continuous. It presents some important examples of a continuous time Markov chain, which include Poisson process, birth process, death process, birth and death processes and their variations. These processes play a fundamental role in the theory and applications in queuing and inventory models, population growth, epidemiology and engineering systems. The book studies in detail the Poisson process, which is the most frequently applied stochastic process in a variety of fields, with its extension to a renewal process. The book also presents important basic concepts on Brownian motion process, a stochastic process of historic importance. It covers its few extensions and variations, such as Brownian bridge, geometric Brownian motion process, which have applications in finance, stock markets, inventory etc. The book is designed primarily to serve as a textbook for a one semester introductory course in stochastic processes, in a post-graduate program, such as Statistics, Mathematics, Data Science and Finance. It can also be used for relevant courses in other disciplines. Additionally, it provides sufficient background material for studying inference in stochastic processes. The book thus fulfils the need of a concise but clear and student-friendly introduction to various types of stochastic processes.

Handbook of Stochastic Analysis and Applications

Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 1482294702
Total Pages : 808 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Handbook of Stochastic Analysis and Applications by : D. Kannan

Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Introduction to Stochastic Process

Author : Adhir K. Basu
Publisher : Alpha Science Int'l Ltd.
ISBN 13 : 9781842651056
Total Pages : 436 pages
Book Rating : 4.6/5 (51 download)

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Book Synopsis Introduction to Stochastic Process by : Adhir K. Basu

Download or read book Introduction to Stochastic Process written by Adhir K. Basu and published by Alpha Science Int'l Ltd.. This book was released on 2003 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an outcome of the author's lectures conducted from the 1980s during his teaching experience in North America and India. Over 250 solved and unsolved exercises are provided with examples.