Mathematical statistics and stochastic processes

DOI10.1002/9781118562024MaRDI QIDQ2857989zbMATH OpenOpenAlexFDO

Authors Denis Bosq

Publication date 19 November 2013

Full work available at URL https://doi.org/10.1002/9781118562024

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Inference from stochastic processes (62Mxx)

Review text

This is a book about statistics and stochastic processes. It studies inference of variables observed along the time, such that, they are correlated. Definitely, it is not a book for beginners. Mathematical statistics, inference for stochastic processes and elements of probability theory are presented in a rigorous and concise style. The measure theoretic approach is used both in the formulation of mathematical statistics and stochastic processes. It starts with decision theory and continues with classical theory of estimations and tests; asymptotics, both parametric and nonparametric, and then goes through statistics for discrete-time stationary processes and Poisson processes. Then follows with statistics for continuous-time processes, namely, Itō's integrals, second order and diffusion processes. The last chapters are dedicated to statistical prediction and to elements of probability theory. Maybe a bit more results on inference related to stationary and second order processes could be provided. Unfortunately, typos show up along the text. Hopefully, they are going to be corrected in the future editions of the book.

Recommendations

• Mathematical statistics and statistics of processes.
• Stochastic Processes - Inference Theory
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• scientific article; zbMATH DE number 1495490
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Cited in

(15)

• Nonparametric and high-dimensional functional graphical models
• Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
• Mathematical statistics and statistics of processes.
• scientific article; zbMATH DE number 4129708 (Why is no real title available?)
• Probability, statistics, and stochastic processes.
• scientific article; zbMATH DE number 3850256 (Why is no real title available?)
• scientific article; zbMATH DE number 4084797 (Why is no real title available?)
• scientific article; zbMATH DE number 1495490 (Why is no real title available?)
• Theory and statistical applications of stochastic processes
• Theory of stochastic objects. Probability, stochastic processes and inference
• Quantifying the closeness to a set of random curves via the mean marginal likelihood
• Statistical topics and stochastic models for dependent data with applications. Based on the workshop on random models and statistical tools, informatics and combinatorics, MOUSTIC -- modèles aléatoires et outils statistiques, informatiques et combinatoires, Rouen, France, October 3--5, 2018
• Learning theory estimates with observations from general stationary stochastic processes
• Robust nonparametric equivariant regression for functional data with responses missing at random
• A new estimation in functional linear concurrent model with covariate dependent and noise contamination

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