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[request_ebook] Simulation and Inference for Stochastic Differential Equations: With R Examples

Book cover for request_ebook Simulation and Inference for Stochastic Differential Equations With R Examples

作者: Stefano M. Iacus

日期: 2008

ISBN: 978-0-387-75838-1

页数: 286

语言: English

出版社: Springer

标签: 数学


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    request_ebook Simulation and Inference for Stochastic Differential Equations With R Examples
  • Author: Stefano M. Iacus
  • Publisher: Springer
  • Publish Date: 2008
  • Pages: 286
About this book
  • Ready to use functions allow for instant analysis on real life data
  • Many figures give immediate impression of how the methods perform
  • Theoretical results are presented side-by-side with R code to ease the passage from theory to practice

This book is unique because of its focus on the practical implementation of the simulation and estimation methods presented. The book will be useful to practitioners and students with only a minimal mathematical background because of the many R programs, and to more mathematically-educated practitioners.

Many of the methods presented in the book have not been used much in practice because the lack of an implementation in a unified framework. This book fills the gap.

With the R code included in this book, a lot of useful methods become easy to use for practitioners and students. An R package called "sde" provides functions with easy interfaces ready to be used on empirical data from real life applications. Although it contains a wide range of results, the book has an introductory character and necessarily does not cover the whole spectrum of simulation and inference for general stochastic differential equations.

The book is organized into four chapters. The first one introduces the subject and presents several classes of processes used in many fields of mathematics, computational biology, finance and the social sciences. The second chapter is devoted to simulation schemes and covers new methods not available in other publications. The third one focuses on parametric estimation techniques. In particular, it includes exact likelihood inference, approximated and pseudo-likelihood methods, estimating functions, generalized method of moments, and other techniques. The last chapter contains miscellaneous topics like nonparametric estimation, model identification and change point estimation. The reader who is not an expert in the R language will find a concise introduction to this environment focused on the subject of the book. A documentation page is available at the end of the book for each R function presented in the book.

Stefano M. Iacus is associate professor of Probability and Mathematical Statistics at the University of Milan, Department of Economics, Business and Statistics. He has a PhD in Statistics at Padua University, Italy and in Mathematics at Université du Maine, France.

He is a member of the R Core team for the development of the R statistical environment, Data Base manager for the Current Index to Statistics, and IMS Group Manager for the Institute of Mathematical Statistics. He has been associate editor of the Journal of Statistical Software.

Written for:
Researchers, graduate students
Keywords:
  • compuational statistics
  • inference for stochastic processes
  • simulation methods
  • stochastic differential equations
  • time series analysis

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Comments


Comments for "[request_ebook] Simulation and Inference for Stochastic Differential Equations: With R Examples":

  1. john5170 @ 2008-12-23 22:06:10, email hidden

    link please?
  2. guest @ 2008-12-25 16:51:48, email hidden

    I wanted to read this lovely book
  3. john_5170 @ 2008-12-27 20:04:33, email hidden

    nobody?
  4. Ian Gregory @ 2010-06-17 15:55:48, email hidden

    Books also found:
    Here:
    http://depositfiles.com/files/t9pacfvzr
    and
    Here:
    http://www.megaupload.com/?d=BRUDIO0A
    regards.
  5. Ian Gregory @ 2010-06-17 16:08:18, email hidden

    Also available here:
    http://rapidshare.com/files/399938818/Iacus_-_Simulation_and_Inference_for_Stochastic_Differntial_Equations_With_R_Examples.pdf.html
    regards.
  6. Ian Gregory @ 2010-06-17 16:09:41, email hidden

    Also here:
    http://rapidshare.com/files/399938818/Iacus_-_Simulation_and_Inference_for_Stochastic_Differntial_Equations_With_R_Examples.pdf
    Note: Add a .html at the end of the above link.
  7. Ian Gregory @ 2010-06-17 16:10:53, email hidden

    Also here:
    http://rapidshare.com/files/399938818/Iacus_-_Simulation_and_Inference_for_Stochastic_Differntial_Equations_With_R_Examples.pdf

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