Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences. Maksym Luz

Скачать книгу в различных форматах или читать онлайн на сайте.

Название: Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Автор: Maksym Luz

Издательство: John Wiley & Sons Limited

Жанр: Математика

Серия:

isbn: 9781119663522

isbn: 0

Аннотация:

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.