Parameter Estimation in Fractional Diffusion Models (Запис № 446571)
[ простий вигляд ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 04832nam a22006135i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-319-71030-3 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20210118124516.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180105s2017 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783319710303 |
| -- | 978-3-319-71030-3 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-319-71030-3 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA273.A1-274.9 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA274-274.9 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT029000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | thema |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBWL |
| Source | thema |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kubilius, Kęstutis. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Parameter Estimation in Fractional Diffusion Models |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. 2017. |
| 264 #1 - | |
| -- | Cham : |
| -- | Springer International Publishing : |
| -- | Imprint: Springer, |
| -- | 2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XIX, 390 p. 17 illus., 2 illus. in color. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |
| Міжнародний стандартний серійний номер для назви серії (ISSN) | 2039-1471 ; |
| Том/ позначення послідовності | 8 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1 Description and properties of the basic stochastic models -- 2 The Hurst index estimators for a fractional Brownian motion -- 3 Estimation of the Hurst index from the solution of a stochastic differential equation -- 4 Parameter estimation in the mixed models via power variations -- 5 Drift parameter estimation in diffusion and fractional diffusion models -- 6 The extended Orey index for Gaussian processes -- 7 Appendix A: Selected facts from mathematical and functional analysis -- 8 Appendix B: Selected facts from probability, stochastic processes and stochastic calculus. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics. |
| 506 ## - RESTRICTIONS ON ACCESS NOTE | |
| Terms governing access | Available to subscribing member institutions only. Доступно лише організаціям членам підписки. |
| 506 ## - RESTRICTIONS ON ACCESS NOTE | |
| Standardized terminology for access restriction | Online access from local network of NaUOA. |
| 506 ## - RESTRICTIONS ON ACCESS NOTE | |
| Standardized terminology for access restriction | Online access with authorization at https://link.springer.com/ |
| 506 ## - RESTRICTIONS ON ACCESS NOTE | |
| Standardized terminology for access restriction | Онлайн-доступ з локальної мережі НаУОА. |
| 506 ## - RESTRICTIONS ON ACCESS NOTE | |
| Standardized terminology for access restriction | Онлайн доступ з авторизацією на https://link.springer.com/ |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probabilities. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics . |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M27004 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistical Theory and Methods. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S11001 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mishura, Yuliya. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ralchenko, Kostiantyn. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319710297 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319710310 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783319890319 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |
| -- | 2039-1471 ; |
| Volume number/sequential designation | 8 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1007/978-3-319-71030-3">https://doi.org/10.1007/978-3-319-71030-3</a> |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | ЕКнига |
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