Entropy methods for martingales:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam
CWI
2000
|
| Series: | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract
128 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 139 S. |
| ISBN: | 9061964903 |
Staff View
MARC
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| 650 | 7 | |a Asymptotische analyse |2 gtt | |
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| 650 | 7 | |a Martingalen |2 gtt | |
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Record in the Search Index
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| adam_text | Contents
• Preface i
1 Introduction 1
1.1 Overview 1
1.2 General Notations and Remarks 7
2 Maximal Inequalities 10
2.1 Preliminaries 10
2.2 Multivariate Point Processes 12
2.3 Martingale Difference Arrays 24
2.4 Continuous Local Martingales 29
2.A Notes 33
3 Weak Convergence Theorems 34
3.1 Preliminaries 34
3.2 Multivariate Point Processes 35
3.3 Martingale Difference Arrays 41
3.4 Continuous Local Martingales 43
3.A Notes 45
4 Integral Estimators 47
4.1 Multiplicative Intensity Model 47
4.1.1 Asymptotic Normality 47
4.1.2 Asymptotic Efficiency 50
4.2 Continuous Semimartingales with Non linear Covariates 54
4.2.1 Preliminaries 54
4.2.2 Asymptotic Normality 56
4.2.3 Asymptotic Efficiency 60
4.3 Counting Processes with Non linear Covariates 63
vii
viii
4.3.1 Preliminaries 64
4.3.2 Asymptotic Normality 66
4.3.3 Asymptotic Efficiency 68
4.A Notes 70
5 M Estimators: General Criterion and Euclidean Parameters 71
5.1 General Criterion . 71
5.2 Gaussian White Noise Model 74
5.2.1 Criterion for Rate of Convergence 74
5.2.2 Examples 79
5.2.3 Remarks for Non Gaussian Cases 84
5.3 Multiplicative Intensity Model 84
5.A Notes . 88
6 Non parametric Maximum Likelihood Estimators 89
6.1 Gaussian White Noise Model 89
6.2 Multiplicative Intensity Model 93
6.3 Counting Processes with Non linear Covariates 100
6.4 Diffusion type Processes 106
6.A Notes 112
7 Miscellanies 113
7.1 Local Random Fields of Kernel Estimators 113
7.1.1 I.I.D. Case 113
7.1.2 Estimation of Mode 120
7.1.3 Remarks for Non I.I.D. Cases 124
7.2 Log likelihood Ratio Random Fields 125
7.2.1 Results 125
7.2.2 Proofs 128
7.3 Model Checking for a Non linear Times Series 132
7.A Notes 135
• Bibliography 136
|
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| id | DE-604.BV013692834 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:50:21Z |
| institution | BVB |
| isbn | 9061964903 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009357369 |
| oclc_num | 43800701 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM |
| owner_facet | DE-91G DE-BY-TUM |
| physical | VIII, 139 S. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | CWI |
| record_format | marc |
| series | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract |
| series2 | Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract |
| spelling | Nishiyama, Yoichi Verfasser aut Entropy methods for martingales Y. Nishiyama Amsterdam CWI 2000 VIII, 139 S. txt rdacontent n rdamedia nc rdacarrier Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract 128 Asymptotische analyse gtt Entropie gtt Martingalen gtt Stochastische processen gtt Entropy (Information theory) Martingales (Mathematics) Martingal (DE-588)4126466-6 gnd rswk-swf Martingal (DE-588)4126466-6 s DE-604 Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract 128 (DE-604)BV001902011 128 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009357369&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nishiyama, Yoichi Entropy methods for martingales Centrum voor Wiskunde en Informatica <Amsterdam>: CWI Tract Asymptotische analyse gtt Entropie gtt Martingalen gtt Stochastische processen gtt Entropy (Information theory) Martingales (Mathematics) Martingal (DE-588)4126466-6 gnd |
| subject_GND | (DE-588)4126466-6 |
| title | Entropy methods for martingales |
| title_auth | Entropy methods for martingales |
| title_exact_search | Entropy methods for martingales |
| title_full | Entropy methods for martingales Y. Nishiyama |
| title_fullStr | Entropy methods for martingales Y. Nishiyama |
| title_full_unstemmed | Entropy methods for martingales Y. Nishiyama |
| title_short | Entropy methods for martingales |
| title_sort | entropy methods for martingales |
| topic | Asymptotische analyse gtt Entropie gtt Martingalen gtt Stochastische processen gtt Entropy (Information theory) Martingales (Mathematics) Martingal (DE-588)4126466-6 gnd |
| topic_facet | Asymptotische analyse Entropie Martingalen Stochastische processen Entropy (Information theory) Martingales (Mathematics) Martingal |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009357369&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV001902011 |
| work_keys_str_mv | AT nishiyamayoichi entropymethodsformartingales |