Nonparametric statistics for stochastic processes: estimation and prediction
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | German |
| Published: |
New York, NY [u.a.]
Springer
1998
|
| Edition: | 2. ed. |
| Series: | Lecture notes in statistics
110 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 197 - 206 Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | XVI, 210 S. graph. Darst. |
| ISBN: | 0387985905 9780387985909 |
Staff View
MARC
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| 100 | 1 | |a Bosq, Denis |d 1939- |e Verfasser |0 (DE-588)172994314 |4 aut | |
| 245 | 1 | 0 | |a Nonparametric statistics for stochastic processes |b estimation and prediction |c D. Bosq |
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| 264 | 1 | |a New York, NY [u.a.] |b Springer |c 1998 | |
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| 490 | 1 | |a Lecture notes in statistics |v 110 | |
| 500 | |a Literaturverz. S. 197 - 206 | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
| 650 | 7 | |a Estatística de processos estocásticos |2 larpcal | |
| 650 | 4 | |a Estimation, Théorie de l' | |
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| 650 | 7 | |a Inferência não paramétrica |2 larpcal | |
| 650 | 7 | |a Processos estocasticos |2 larpcal | |
| 650 | 4 | |a Processus stochastiques | |
| 650 | 4 | |a Statistique non paramétrique | |
| 650 | 4 | |a Nonparametric statistics | |
| 650 | 4 | |a Stochastic processes | |
| 650 | 4 | |a Estimation theory | |
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Record in the Search Index
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| adam_text | Contents
Preface to the first edition vii
Preface to the second edition ix
SYNOPSIS 1
1. The object of the study 1
2. The kernel density estimator 3
3. The kernel regression estimator and the induced predictor 5
4. Mixing processes 7
5. Density estimation 8
6. Regression estimation and prediction 11
7. The local time density estimator 12
8. Implementation of nonparametric method 13
CHAPTER 1. Inequalities for mixing processes 17
1. Mixing 17
2. Coupling 19
3. Inequalities for covariances and joint densities 20
4. Exponential type inequalities 24
5. Some limit theorems for strongly mixing processes 33
Notes 39
CHAPTER 2. Density estimation for discrete time
processes 41
1. Density estimation 42
2. Optimal asymptotic quadratic error 43
xii CONTENTS
3. Uniform almost sure convergence 46
4. Asymptotic normality 53
5. Nonregular cases 57
Notes 65
CHAPTER 3. Regression estimation and prediction
for discrete time processes 67
1. Regression estimation 67
2. Asymptotic behaviour of the regression estimator 69
3. Prediction for a stationary Markov process of order k 75
4. Prediction for general processes 81
Notes 87
CHAPTER 4. Kernel density estimation for continuous
time processes 89
1. The kernel density estimator in continuous time 89
2. Optimal and superoptimal asymptotic quadratic error 91
3. Optimal and superoptimal uniform convergence rates 108
4. Asymptotic normality 118
5. Sampling 118
Notes 127
CHAPTER 5. Regression estimation and prediction
in continuous time 129
1. The kernel regression estimator in continuous time 129
2. Optimal asymptotic quadratic error 131
3. Superoptimal asymptotic quadratic error 134
4. Limit in distribution 138
5. Uniform convergence rates 139
6. Sampling 140
7. Nonparametric prediction in continuous time 141
Notes 144
CONTENTS xiii
CHAPTER 6. The local time density estimator 145
1. Local time 145
2. Estimation by local time 149
3. Consistency of the local time density estimator 150
4. Rates of convergence 154
5. Discussion 165
Notes 167
CHAPTER 7. Implementation of nonparametric method
and numerical applications 169
1. Implementation of nonparametric method 169
2. Comparison between parametric and nonparametric predictors 177
3. Some applications to Finance and Economics 182
Notes 184
4. Annex 185
References 197
Index 207
|
| any_adam_object | 1 |
| author | Bosq, Denis 1939- |
| author_GND | (DE-588)172994314 |
| author_facet | Bosq, Denis 1939- |
| author_role | aut |
| author_sort | Bosq, Denis 1939- |
| author_variant | d b db |
| building | Verbundindex |
| bvnumber | BV012255821 |
| callnumber-first | Q - Science |
| callnumber-label | QA278 |
| callnumber-raw | QA278.8.B67 1998 |
| callnumber-search | QA278.8.B67 1998 |
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| callnumber-subject | QA - Mathematics |
| classification_rvk | QH 233 QH 424 SI 856 SK 830 |
| classification_tum | MAT 626f MAT 605f |
| ctrlnum | (OCoLC)39281991 (DE-599)BVBBV012255821 |
| dewey-full | 519.5/421 519.5/4 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/4 21 519.5/4 |
| dewey-search | 519.5/4 21 519.5/4 |
| dewey-sort | 3519.5 14 221 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV012255821 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:24:22Z |
| institution | BVB |
| isbn | 0387985905 9780387985909 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008304883 |
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| physical | XVI, 210 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in statistics |
| series2 | Lecture notes in statistics |
| spelling | Bosq, Denis 1939- Verfasser (DE-588)172994314 aut Nonparametric statistics for stochastic processes estimation and prediction D. Bosq 2. ed. New York, NY [u.a.] Springer 1998 XVI, 210 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 110 Literaturverz. S. 197 - 206 Hier auch später erschienene, unveränderte Nachdrucke Estatística de processos estocásticos larpcal Estimation, Théorie de l' Inferência estatística larpcal Inferência não paramétrica larpcal Processos estocasticos larpcal Processus stochastiques Statistique non paramétrique Nonparametric statistics Stochastic processes Estimation theory Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Nichtparametrische Statistik (DE-588)4226777-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s Nichtparametrische Statistik (DE-588)4226777-8 s DE-604 Lecture notes in statistics 110 (DE-604)BV002447846 110 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008304883&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bosq, Denis 1939- Nonparametric statistics for stochastic processes estimation and prediction Lecture notes in statistics Estatística de processos estocásticos larpcal Estimation, Théorie de l' Inferência estatística larpcal Inferência não paramétrica larpcal Processos estocasticos larpcal Processus stochastiques Statistique non paramétrique Nonparametric statistics Stochastic processes Estimation theory Stochastischer Prozess (DE-588)4057630-9 gnd Nichtparametrische Statistik (DE-588)4226777-8 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4226777-8 |
| title | Nonparametric statistics for stochastic processes estimation and prediction |
| title_auth | Nonparametric statistics for stochastic processes estimation and prediction |
| title_exact_search | Nonparametric statistics for stochastic processes estimation and prediction |
| title_full | Nonparametric statistics for stochastic processes estimation and prediction D. Bosq |
| title_fullStr | Nonparametric statistics for stochastic processes estimation and prediction D. Bosq |
| title_full_unstemmed | Nonparametric statistics for stochastic processes estimation and prediction D. Bosq |
| title_short | Nonparametric statistics for stochastic processes |
| title_sort | nonparametric statistics for stochastic processes estimation and prediction |
| title_sub | estimation and prediction |
| topic | Estatística de processos estocásticos larpcal Estimation, Théorie de l' Inferência estatística larpcal Inferência não paramétrica larpcal Processos estocasticos larpcal Processus stochastiques Statistique non paramétrique Nonparametric statistics Stochastic processes Estimation theory Stochastischer Prozess (DE-588)4057630-9 gnd Nichtparametrische Statistik (DE-588)4226777-8 gnd |
| topic_facet | Estatística de processos estocásticos Estimation, Théorie de l' Inferência estatística Inferência não paramétrica Processos estocasticos Processus stochastiques Statistique non paramétrique Nonparametric statistics Stochastic processes Estimation theory Stochastischer Prozess Nichtparametrische Statistik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008304883&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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