Nonparametric Statistics for Stochastic Processes: Estimation and Prediction (Lecture Notes in Statistics) Book + PRICE WATCH * Amazon pricing is not included in price watch

Nonparametric Statistics for Stochastic Processes: Estimation and Prediction (Lecture Notes in Statistics) Book

This book is devoted to the theory and applications of nonparametic functional estimation and prediction. Chapter 1 provides an overview of inequalities and limit theorems for strong mixing processes. Density and regression estimation in discrete time are studied in Chapter 2 and 3. The special rates of convergence which appear in continuous time are presented in Chapters 4 and 5. This second edition is extensively revised and it contains two new chapters. Chapter 6 discusses the surprising local time density estimator. Chapter 7 gives a detailed account of implementation of nonparametric method and practical examples in economics, finance and physics. Comarison with ARMA and ARCH methods shows the efficiency of nonparametric forecasting. The prerequisite is a knowledge of classical probability theory and statistics.Read More

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  • 0387985905
  • 9780387985909
  • D. Bosq
  • 1 September 1998
  • Springer
  • Paperback (Book)
  • 232
  • 2nd ed.
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