Description |
1 online resource (xii, 366 pages) : illustrations |
Contents |
PREFACE; ; INTRODUCTION; ; ELEMENTS OF PROBABILITY; Probability and Probability Distribution; Vector Random Variable and Independence; Expectation and Conditional Distribution; Convergence and Central Limit Theorems; ; STATISTICAL INFERENCE; Sufficient Statistics; Unbiased Estimators; Efficient Estimators; Asymptotically Efficient Estimators; ; VARIOUS STATISTICAL METHODS; Interval Estimation; Most Powerful Test; Various Tests; Discriminant Analysis; ; STOCHASTIC PROCESSES; Elements of Stochastic Processes; Spectral Analysis; Ergodicity, Mixing, and Martingale; Limit Theorems for Stochastic Processes; Exercise; ; TIME SERIES ANALYSIS; Time Series Model; Estimation of Time Series Models; Model Selection Problems; Nonparametric Estimation; Prediction of Time Series; Regression for Time Series; Long Memory Processes; Local Whittle Likelihood Approach; Nonstationary Processes; Semiparametric Estimation; Discriminant Analysis for Time Series; ; INTRODUCTION TO STATISTICAL FINANCIAL ENGINEERING; Option Pricing Theory; Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns; Estimation of Portfolio; Value-at-Risk (VaR) Problems; ; TERM STRUCTURE; Spot Rates and Discount Bonds; Estimation Procedures for Term Structure; ; CREDIT RATING; Parametric Clustering for Financial Time Series; Nonparametric Clustering for Financial Time Series; Credit Rating Based on Financial Time Series; ; APPENDIX; REFERENCES; INDEX |
Summary |
Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively describe actual financial data and illustrates how to properly estimate the proposed models. After explaining the elements of probability and statistical inference for independent observations, the book discusses the testing hypothesis and discriminant |
Bibliography |
Includes bibliographical references (pages 355-362) and index |
Notes |
Print version record |
Subject |
Mathematical statistics.
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Financial engineering.
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Finance -- Statistical methods
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BUSINESS & ECONOMICS -- Finance.
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Finance -- Statistical methods
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Financial engineering
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Mathematical statistics
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Statistische modellen.
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Stochastische processen.
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Financieel management.
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Reorganisatie.
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Form |
Electronic book
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Author |
Hirukawa, Junichi.
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Tamaki, Kenichiro.
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ISBN |
9781584885917 |
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1584885912 |
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9781420011036 |
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1420011030 |
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