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Nonparametric statistics for stochastic processes. Estimation and prediction. 2nd ed. (English) Zbl 0902.62099
Lecture Notes in Statistics (Springer). 110. New York, NY: Springer. xvi, 210 p. (1998).
[For the review of the first edition from 1996 see Zbl 0857.62081).]
This edition contains some improvements and corrections, and two new chapters. Chapter 6 deals with the use of local time in density estimation. The local time furnishes an unbiased density estimator and its approximation by a kernel estimator gives new insight in the choice of bandwidth. Implementation and numerical applications to finance and economics are gathered and developed in Chapter 7.

MSC:
62M09 Non-Markovian processes: estimation
62G07 Density estimation
62-02 Research exposition (monographs, survey articles) pertaining to statistics
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
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