Semimartingales and Their Statistical Inference

Download or read book Semimartingales and Their Statistical Inference written by B. L. S. Prakasa Rao and published by . This book was released on 1999 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory of statistical inference for semimartingales. Semimartingales and their Statistical Inference fills this need by presenting a comprehensive discussion of the asymptotic theory of statistical inference for semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state of the art in the inferential aspect for semimartingales.