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Cover Art
Author Küchler, Uwe.

Title Exponential families of stochastic processes / Uwe Küchler, Michael Sørensen.

Published New York : Springer, [1997]


Location Call No. Status
Physical description x, 322 pages ; 24 cm.
Series Springer series in statistics.
Springer series in statistics.
Bibliography Includes bibliographical references (pages [303]-316) and index.
Contents 1. Introduction -- 2. Natural Exponential Families of Levy Processes -- 3. Definitions and Examples -- 4. First Properties -- 5. Random Time Transformations -- 6. Exponential Families of Markov Processes -- 7. The Envelope Families -- 8. Likelihood Theory -- 9. Linear Stochastic Differential Equations with Time Delay -- 10. Sequential Methods -- 11. The Semimartingale Approach -- 12. Alternative Definitions -- A. A Toolbox from Stochastic Calculus -- B. Miscellaneous Results -- D. Basic Notation.
Summary This book provides a comprehensive account of the statistical theory of exponential families of stochastic processes. The book reviews the progress in the field made over the last ten years or so by the authors, two of the leading experts in the field, and several other researchers. The theory is applied to a broad spectrum of examples. The statistical concepts are explained carefully so that probabilists with only a basic background in statistics can use the book to get into statistical inference for stochastic processes. Exercises are included to make the book useful for an advanced graduate course.
Other author Sørensen, Michael.
Subject Stochastic processes.
Exponential families (Statistics)
ISBN 038794981X (acid-free paper)