Stochastic processes. Inference theory
The subject of inference for stochastic processes is of great interest due to its applications for stochastic modeling from the inherent dependent nature of the observations and due to the technical problems it poses in extending classical results in statistical inference in the independent case to the dependent case of random variables and from the discrete time stochastic processes to the continuous time stochastic processes. The present monograph is an addition to the growing literature in this area. The contents of the book are as follows: Chapter I: Introduction and preliminaries; Chapter II: Some principles of hypothesis testing; Chapter III: Parameter estimation and asymptotics; Chapter IV: Inference for classes of processes; Chapter V: Likelihood ratios for processes; Chapter VI: Sampling methods for processes; Chapter VII: More on stochastic inference; Chapter VIII: Prediction and filtering of processes; Chapter IX: Nonparametric estimation for processes. Chapters I to III discuss basic results in statistical inferenee. Some aspects of statistical inference for stochastic processes are studied in the Chapters IV and V. The problem of sampling for continuous-parameter second-order processes is investigated in the Chapter VI. Extensions of some results on statistical inference discussed in the Chapter V are given in the Chapter VII. The problem of prediction and filtering for stochastic processes is discussed in the Chapter IX and nonparametric estimation of spectral functions of stochastic processes is studied in the Chapter X. The book contains a wealth of material not usually found in the recent books on inference for stochastic processes, such as the results in the Chapters VI, VIII and IX dealing with problems in time series. The author contributed significantly to the subject matter and the book is well written. It is difficult, however, to use the book as a text book, but I certainly welcome it as a good reference.
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