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Título : Mathematical Statistics for Economics and Business Tipo de documento: documento electrónico Autores: Ron C. Mittelhammer ; SpringerLink (Online service) Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Número de páginas: XXIX, 755 p Il.: online resource ISBN/ISSN/DL: 978-1-4614-5022-1 Idioma : Inglés (eng) Palabras clave: Mathematics Probabilities Statistics Econometrics Probability Theory and Stochastic Processes Statistics, general for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Mathematical Statistics for Economics and Business, Second Edition, provides a comprehensive introduction to the principles of mathematical statistics which underpin statistical analyses in the fields of economics, business, and econometrics. The selection of topics in this textbook is designed to provide students with a conceptual foundation that will facilitate a substantial understanding of statistical applications in these subjects. This new edition has been updated throughout and now also includes a downloadable Student Answer Manual containing detailed solutions to half of the over 300 end-of-chapter problems. After introducing the concepts of probability, random variables, and probability density functions, the author develops the key concepts of mathematical statistics, most notably: expectation, sampling, asymptotics, and the main families of distributions. The latter half of the book is then devoted to the theories of estimation and hypothesis testing with associated examples and problems that indicate their wide applicability in economics and business. Features of the new edition include: a reorganization of topic flow and presentation to facilitate reading and understanding; inclusion of additional topics of relevance to statistics and econometric applications; a more streamlined and simple-to-understand notation for multiple integration and multiple summation over general sets or vector arguments; updated examples; new end-of-chapter problems; a solution manual for students; a comprehensive answer manual for instructors; and a theorem and definition map. This book has evolved from numerous graduate courses in mathematical statistics and econometrics taught by the author, and will be ideal for students beginning graduate study as well as for advanced undergraduates. Nota de contenido: Elements of Probability Theory -- Random Variables, Densities, and Cumulative Distribution Functions -- Expectations and Moments of Random Variables -- Parametric Families of Density Functions -- Basic Asymptotics -- Sampling, Sample Moments, Sampling Distributions, and Simulation -- Point Estimation Theory -- Point Estimation Methods -- Hypothesis Testing Theory -- Hypothesis Testing Methods and Confidence Regions -- Appendix En línea: http://dx.doi.org/10.1007/978-1-4614-5022-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32236 Mathematical Statistics for Economics and Business [documento electrónico] / Ron C. Mittelhammer ; SpringerLink (Online service) . - New York, NY : Springer New York : Imprint: Springer, 2013 . - XXIX, 755 p : online resource.
ISBN : 978-1-4614-5022-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Probabilities Statistics Econometrics Probability Theory and Stochastic Processes Statistics, general for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Mathematical Statistics for Economics and Business, Second Edition, provides a comprehensive introduction to the principles of mathematical statistics which underpin statistical analyses in the fields of economics, business, and econometrics. The selection of topics in this textbook is designed to provide students with a conceptual foundation that will facilitate a substantial understanding of statistical applications in these subjects. This new edition has been updated throughout and now also includes a downloadable Student Answer Manual containing detailed solutions to half of the over 300 end-of-chapter problems. After introducing the concepts of probability, random variables, and probability density functions, the author develops the key concepts of mathematical statistics, most notably: expectation, sampling, asymptotics, and the main families of distributions. The latter half of the book is then devoted to the theories of estimation and hypothesis testing with associated examples and problems that indicate their wide applicability in economics and business. Features of the new edition include: a reorganization of topic flow and presentation to facilitate reading and understanding; inclusion of additional topics of relevance to statistics and econometric applications; a more streamlined and simple-to-understand notation for multiple integration and multiple summation over general sets or vector arguments; updated examples; new end-of-chapter problems; a solution manual for students; a comprehensive answer manual for instructors; and a theorem and definition map. This book has evolved from numerous graduate courses in mathematical statistics and econometrics taught by the author, and will be ideal for students beginning graduate study as well as for advanced undergraduates. Nota de contenido: Elements of Probability Theory -- Random Variables, Densities, and Cumulative Distribution Functions -- Expectations and Moments of Random Variables -- Parametric Families of Density Functions -- Basic Asymptotics -- Sampling, Sample Moments, Sampling Distributions, and Simulation -- Point Estimation Theory -- Point Estimation Methods -- Hypothesis Testing Theory -- Hypothesis Testing Methods and Confidence Regions -- Appendix En línea: http://dx.doi.org/10.1007/978-1-4614-5022-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32236 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar Advances in Mathematical and Statistical Modeling / SpringerLink (Online service) ; Roberto Minguez ; José María Sarabia Alegría ; Nagraj Balakrishnan ; Barry C. Arnold (2008)
Título : Advances in Mathematical and Statistical Modeling Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Roberto Minguez ; José María Sarabia Alegría ; Nagraj Balakrishnan ; Barry C. Arnold Editorial: Boston : Birkhäuser Boston Fecha de publicación: 2008 Colección: Statistics for Industry and Technology Número de páginas: XXXIV, 368 p. 56 illus Il.: online resource ISBN/ISSN/DL: 978-0-8176-4626-4 Idioma : Inglés (eng) Palabras clave: Mathematics Computer mathematics Mathematical models Probabilities Statistics Modeling and Industrial Probability Theory Stochastic Processes Statistical Methods for Business/Economics/Mathematical Finance/Insurance Engineering, Physics, Science, Chemistry Earth Sciences Computational Science Engineering Clasificación: 51 Matemáticas Resumen: Enrique Castillo is a leading figure in several mathematical, statistical, and engineering fields, having contributed seminal work in such areas as statistical modeling, extreme value analysis, multivariate distribution theory, Bayesian networks, neural networks, functional equations, artificial intelligence, linear algebra, optimization methods, numerical methods, reliability engineering, as well as sensitivity analysis and its applications. Organized to honor Castillo's significant contributions, this volume is an outgrowth of the International Conference on Mathematical and Statistical Modeling and covers recent advances in the field. Also presented are applications to safety, reliability and life-testing, financial modeling, quality control, general inference, as well as neural networks and computational techniques. The book is divided into nine major sections: * Distribution Theory and Applications * Probability and Statistics * Order Statistics and Analysis * Engineering Modeling * Extreme Value Theory * Business and Economics Applications * Statistical Methods * Applied Mathematics * Discrete Distributions This comprehensive reference work will appeal to a diverse audience from the statistical, applied mathematics, engineering, and economics communities. Practitioners, researchers, and graduate students in mathematical and statistical modeling, optimization, and computing will benefit from this work Nota de contenido: Distribution Theory and Applications -- Enrique Castillo#x02019;s Contributions to Conditional Specification -- The Polygonal Distribution -- Conditionally Specified Models: New Developments and Applications -- Modelling of Insurance Claim Count with Hurdle Distribution for Panel Data -- Distance Based Association and Multi-Sample Tests for General Multivariate Data -- Probability and Statistics -- Empirical Bayes Assessment of the Hyperparameters in Bayesian -- Order Statistics and Analysis -- Negative Mixtures Order Statistics and Systems -- Models of Ordered Data and Products of Beta Random Variables -- Exact Inference and Optimal Censoring Scheme for a Simple Step-Stress Model Under Progressive Type-II Censorig -- Engineering Modeling -- Non Gaussian State Estimation in Power Systems -- Statistics Applied to Wave Climate on a Beach Profile -- Extreme Value Theory -- On Some Dependence Measures for Multivariate Extreme Value Distributions -- Ratio of Maximum to the Sum for Testing Super Heavy Tails -- Tail Behaviour An Empirical Study -- An Example of Real#x02013;Life Data Where the Hill Estimator is Correct -- Business and Economics Applications -- Deriving Credibility Premiums Under Different Bayesian Methodology -- The Influence of Transport Links on Disaggregation and Regionalization Methods in Interregional Input-Output Models Between Metropolitan and Remote Areas -- Statistical Methods -- Jackknife Bias Correction of a Clock Offset Estimator -- Pretesting in Polytomous Logistic Regression Models Based on Phi-divergence Measures -- A Unified Approach to Model Selection, Discrimination, Goodness of Fit and Outliers in Time Series -- Generalized Linear Models Diagnostics for Binary Data using Divergence Measures -- Applied Mathematics -- Some Problems in Geometric Processing of Surfaces -- Generalized Inverse Computation Based on an Orthogonal Decomposition Methodology -- Single and Ensemble Fault Classifiers Based on Features Selected by Multi-Objective Genetic Algorithms -- Feasibility Conditions in Engineering Problems Involving a Parametric System of Linear Inequalities -- Forecasting Nonlinear Systems with Neural Networks via Anticipated Synchronization -- Discrete Distributions -- The Discrete Half-Normal Distribution -- Parameter Estimation for Certain q-Hypergeometric Distributions En línea: http://dx.doi.org/10.1007/978-0-8176-4626-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34269 Advances in Mathematical and Statistical Modeling [documento electrónico] / SpringerLink (Online service) ; Roberto Minguez ; José María Sarabia Alegría ; Nagraj Balakrishnan ; Barry C. Arnold . - Boston : Birkhäuser Boston, 2008 . - XXXIV, 368 p. 56 illus : online resource. - (Statistics for Industry and Technology) .
ISBN : 978-0-8176-4626-4
Idioma : Inglés (eng)
Palabras clave: Mathematics Computer mathematics Mathematical models Probabilities Statistics Modeling and Industrial Probability Theory Stochastic Processes Statistical Methods for Business/Economics/Mathematical Finance/Insurance Engineering, Physics, Science, Chemistry Earth Sciences Computational Science Engineering Clasificación: 51 Matemáticas Resumen: Enrique Castillo is a leading figure in several mathematical, statistical, and engineering fields, having contributed seminal work in such areas as statistical modeling, extreme value analysis, multivariate distribution theory, Bayesian networks, neural networks, functional equations, artificial intelligence, linear algebra, optimization methods, numerical methods, reliability engineering, as well as sensitivity analysis and its applications. Organized to honor Castillo's significant contributions, this volume is an outgrowth of the International Conference on Mathematical and Statistical Modeling and covers recent advances in the field. Also presented are applications to safety, reliability and life-testing, financial modeling, quality control, general inference, as well as neural networks and computational techniques. The book is divided into nine major sections: * Distribution Theory and Applications * Probability and Statistics * Order Statistics and Analysis * Engineering Modeling * Extreme Value Theory * Business and Economics Applications * Statistical Methods * Applied Mathematics * Discrete Distributions This comprehensive reference work will appeal to a diverse audience from the statistical, applied mathematics, engineering, and economics communities. Practitioners, researchers, and graduate students in mathematical and statistical modeling, optimization, and computing will benefit from this work Nota de contenido: Distribution Theory and Applications -- Enrique Castillo#x02019;s Contributions to Conditional Specification -- The Polygonal Distribution -- Conditionally Specified Models: New Developments and Applications -- Modelling of Insurance Claim Count with Hurdle Distribution for Panel Data -- Distance Based Association and Multi-Sample Tests for General Multivariate Data -- Probability and Statistics -- Empirical Bayes Assessment of the Hyperparameters in Bayesian -- Order Statistics and Analysis -- Negative Mixtures Order Statistics and Systems -- Models of Ordered Data and Products of Beta Random Variables -- Exact Inference and Optimal Censoring Scheme for a Simple Step-Stress Model Under Progressive Type-II Censorig -- Engineering Modeling -- Non Gaussian State Estimation in Power Systems -- Statistics Applied to Wave Climate on a Beach Profile -- Extreme Value Theory -- On Some Dependence Measures for Multivariate Extreme Value Distributions -- Ratio of Maximum to the Sum for Testing Super Heavy Tails -- Tail Behaviour An Empirical Study -- An Example of Real#x02013;Life Data Where the Hill Estimator is Correct -- Business and Economics Applications -- Deriving Credibility Premiums Under Different Bayesian Methodology -- The Influence of Transport Links on Disaggregation and Regionalization Methods in Interregional Input-Output Models Between Metropolitan and Remote Areas -- Statistical Methods -- Jackknife Bias Correction of a Clock Offset Estimator -- Pretesting in Polytomous Logistic Regression Models Based on Phi-divergence Measures -- A Unified Approach to Model Selection, Discrimination, Goodness of Fit and Outliers in Time Series -- Generalized Linear Models Diagnostics for Binary Data using Divergence Measures -- Applied Mathematics -- Some Problems in Geometric Processing of Surfaces -- Generalized Inverse Computation Based on an Orthogonal Decomposition Methodology -- Single and Ensemble Fault Classifiers Based on Features Selected by Multi-Objective Genetic Algorithms -- Feasibility Conditions in Engineering Problems Involving a Parametric System of Linear Inequalities -- Forecasting Nonlinear Systems with Neural Networks via Anticipated Synchronization -- Discrete Distributions -- The Discrete Half-Normal Distribution -- Parameter Estimation for Certain q-Hypergeometric Distributions En línea: http://dx.doi.org/10.1007/978-0-8176-4626-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34269 Ejemplares
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Título : Statistics for Business and Financial Economics Tipo de documento: documento electrónico Autores: Cheng-Few Lee ; SpringerLink (Online service) ; John C. Lee ; Alice C. Lee Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Número de páginas: XLVIII, 1206 p. 313 illus., 189 illus. in color Il.: online resource ISBN/ISSN/DL: 978-1-4614-5897-5 Idioma : Inglés (eng) Palabras clave: Statistics Macroeconomics for Business/Economics/Mathematical Finance/Insurance Statistics, general Macroeconomics/Monetary Economics//Financial Economics Clasificación: 51 Matemáticas Resumen: Statistics for Business and Financial Economics, 3rd edition is the definitive Business Statistics book to use Finance, Economics, and Accounting data throughout the entire book. Therefore, this book gives students an understanding of how to apply the methodology of statistics to real world situations. In particular, this book shows how descriptive statistics, probability, statistical distributions, statistical inference, regression methods, and statistical decision theory can be used to analyze individual stock price, stock index, stock rate of return, market rate of return, and decision making. In addition, this book also shows how time-series analysis and the statistical decision theory method can be used to analyze accounting and financial data. In this fully-revised edition, the real world examples have been reconfigured and sections have been edited for better understanding of the topics Nota de contenido: Introduction and Descriptive Statistics -- Probability and Important Distributions -- Statistical Inferences Based on Samples -- Regression and Correlation: Relating Two or More Variables -- Selected Topics in Statistical Analysis for Business and Economics -- Appendices -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-5897-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32274 Statistics for Business and Financial Economics [documento electrónico] / Cheng-Few Lee ; SpringerLink (Online service) ; John C. Lee ; Alice C. Lee . - New York, NY : Springer New York : Imprint: Springer, 2013 . - XLVIII, 1206 p. 313 illus., 189 illus. in color : online resource.
ISBN : 978-1-4614-5897-5
Idioma : Inglés (eng)
Palabras clave: Statistics Macroeconomics for Business/Economics/Mathematical Finance/Insurance Statistics, general Macroeconomics/Monetary Economics//Financial Economics Clasificación: 51 Matemáticas Resumen: Statistics for Business and Financial Economics, 3rd edition is the definitive Business Statistics book to use Finance, Economics, and Accounting data throughout the entire book. Therefore, this book gives students an understanding of how to apply the methodology of statistics to real world situations. In particular, this book shows how descriptive statistics, probability, statistical distributions, statistical inference, regression methods, and statistical decision theory can be used to analyze individual stock price, stock index, stock rate of return, market rate of return, and decision making. In addition, this book also shows how time-series analysis and the statistical decision theory method can be used to analyze accounting and financial data. In this fully-revised edition, the real world examples have been reconfigured and sections have been edited for better understanding of the topics Nota de contenido: Introduction and Descriptive Statistics -- Probability and Important Distributions -- Statistical Inferences Based on Samples -- Regression and Correlation: Relating Two or More Variables -- Selected Topics in Statistical Analysis for Business and Economics -- Appendices -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-5897-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32274 Ejemplares
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Título : Global Analysis of Dynamic Models in Economics and Finance : Essays in Honour of Laura Gardini Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Gian Italo Bischi ; Carlo Chiarella ; Sushko, Iryna Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Número de páginas: XVI, 444 p Il.: online resource ISBN/ISSN/DL: 978-3-642-29503-4 Idioma : Inglés (eng) Palabras clave: Finance Difference equations Functional Economics, Mathematical Statistics Economic theory Economics Theory/Quantitative Economics/Mathematical Methods and Equations Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini Nota de contenido: Introduction -- Problems and Trends in Global Economic Dynamics (Including Specific Examples): Recent Developments on Asset Pricing with Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets -- Modeling House Price Dynamics with Heterogeneous Speculators -- A Reconsideration of the Formal Minskyan Analysis -- Global Bifurcations in a Complementarity Game -- A Little Help from My Friend -- Pattern Formation in Economic Geography -- A Three-region New Economic Geography Model in Discrete Time -- Chaotic Dynamics in Organization Theory -- One-dimensional Discontinuous Piecewise-linear Maps and the Dynamics of Financial Markets -- Consistency of Linear Forecasts in a Nonlinear Stochastic Economy -- A Homoclinic Route to Volatility -- Mathematical Methods and Philosophy for Global Analysis of Dynamical Systems: Image Entropy for Discrete Dynamical Systems -- Embedding a Dim1 Piecewise Continuous and Linear Leonov Map into a Dim2 Invertible Map -- A Gallery of Bifurcation Scenarios in Piecewise Smooth 1D Maps -- Periodic Orbits and Their Bifurcations in 3D Maps with a Separate Third Iterate -- Complexities of Natural Selection Synamics En línea: http://dx.doi.org/10.1007/978-3-642-29503-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=36496 Global Analysis of Dynamic Models in Economics and Finance : Essays in Honour of Laura Gardini [documento electrónico] / SpringerLink (Online service) ; Gian Italo Bischi ; Carlo Chiarella ; Sushko, Iryna . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XVI, 444 p : online resource.
ISBN : 978-3-642-29503-4
Idioma : Inglés (eng)
Palabras clave: Finance Difference equations Functional Economics, Mathematical Statistics Economic theory Economics Theory/Quantitative Economics/Mathematical Methods and Equations Finance, general Quantitative for Business/Economics/Mathematical Finance/Insurance Clasificación: 658 Empresas. Organización de empresas Resumen: The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini Nota de contenido: Introduction -- Problems and Trends in Global Economic Dynamics (Including Specific Examples): Recent Developments on Asset Pricing with Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets -- Modeling House Price Dynamics with Heterogeneous Speculators -- A Reconsideration of the Formal Minskyan Analysis -- Global Bifurcations in a Complementarity Game -- A Little Help from My Friend -- Pattern Formation in Economic Geography -- A Three-region New Economic Geography Model in Discrete Time -- Chaotic Dynamics in Organization Theory -- One-dimensional Discontinuous Piecewise-linear Maps and the Dynamics of Financial Markets -- Consistency of Linear Forecasts in a Nonlinear Stochastic Economy -- A Homoclinic Route to Volatility -- Mathematical Methods and Philosophy for Global Analysis of Dynamical Systems: Image Entropy for Discrete Dynamical Systems -- Embedding a Dim1 Piecewise Continuous and Linear Leonov Map into a Dim2 Invertible Map -- A Gallery of Bifurcation Scenarios in Piecewise Smooth 1D Maps -- Periodic Orbits and Their Bifurcations in 3D Maps with a Separate Third Iterate -- Complexities of Natural Selection Synamics En línea: http://dx.doi.org/10.1007/978-3-642-29503-4 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=36496 Ejemplares
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Título : State-Space Models : Applications in Economics and Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Yong Zeng ; Shu Wu Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Statistics and Econometrics for Finance num. 1 Número de páginas: XXI, 347 p Il.: online resource ISBN/ISSN/DL: 978-1-4614-7789-1 Idioma : Inglés (eng) Palabras clave: Statistics for Business/Economics/Mathematical Finance/Insurance Statistical Theory and Methods Clasificación: 51 Matemáticas Resumen: State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals. Yong Zeng is a professor in Department of Mathematics and Statistics at University of Missouri at Kansas City. His main research interest includes mathematical finance, financial econometrics, stochastic nonlinear filtering, and Bayesian statistical analysis. Notably, he developed the statistical analysis via filtering for financial ultra-high frequency data, where the model can be viewed as a random-arrival-time state space model. He has published in Mathematical Finance, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, IEEE Transactions on Automatic Control, Statistical Inference for Stochastic Processes, among others. He held visiting associate professor positions at Princeton University and the University of Tennessee. He received his B.S. from Fudan University in 1990, M.S. from University of Georgia in 1994, and Ph.D. from University of Wisconsin at Madison in 1999. All degrees were in statistics. Shu Wu is an associate professor in Department of Economics at University of Kansas. His main research areas are empirical macroeconomics and finance. He has held visiting positions at Federal Reserve Bank at Kansas City, City University of Hong Kong. His publications have appeared in Journal of Monetary Economics, Journal of Money, Credit and Banking, Macroeconomic Dynamics, International Journal of Theoretical and Applied Finance, Journal of International Financial Markets, Institutions and Money, Handbook of Quantitative Finance and Risk Management, Hidden Markov Models in Finance among others. He received his Ph.D. in economics from Stanford University in 2000 Nota de contenido: Particle Filtering and Parameter Learning in Nonlinear State-Space Models -- Linear State-Space Models in Macroeconomics and Finance -- Hidden Markov Models, Regime-Switching, and Mathematical Finance -- Nonlinear State-Space Models for High Frequency Financial Data -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-7789-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32365 State-Space Models : Applications in Economics and Finance [documento electrónico] / SpringerLink (Online service) ; Yong Zeng ; Shu Wu . - New York, NY : Springer New York : Imprint: Springer, 2013 . - XXI, 347 p : online resource. - (Statistics and Econometrics for Finance; 1) .
ISBN : 978-1-4614-7789-1
Idioma : Inglés (eng)
Palabras clave: Statistics for Business/Economics/Mathematical Finance/Insurance Statistical Theory and Methods Clasificación: 51 Matemáticas Resumen: State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals. Yong Zeng is a professor in Department of Mathematics and Statistics at University of Missouri at Kansas City. His main research interest includes mathematical finance, financial econometrics, stochastic nonlinear filtering, and Bayesian statistical analysis. Notably, he developed the statistical analysis via filtering for financial ultra-high frequency data, where the model can be viewed as a random-arrival-time state space model. He has published in Mathematical Finance, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, IEEE Transactions on Automatic Control, Statistical Inference for Stochastic Processes, among others. He held visiting associate professor positions at Princeton University and the University of Tennessee. He received his B.S. from Fudan University in 1990, M.S. from University of Georgia in 1994, and Ph.D. from University of Wisconsin at Madison in 1999. All degrees were in statistics. Shu Wu is an associate professor in Department of Economics at University of Kansas. His main research areas are empirical macroeconomics and finance. He has held visiting positions at Federal Reserve Bank at Kansas City, City University of Hong Kong. His publications have appeared in Journal of Monetary Economics, Journal of Money, Credit and Banking, Macroeconomic Dynamics, International Journal of Theoretical and Applied Finance, Journal of International Financial Markets, Institutions and Money, Handbook of Quantitative Finance and Risk Management, Hidden Markov Models in Finance among others. He received his Ph.D. in economics from Stanford University in 2000 Nota de contenido: Particle Filtering and Parameter Learning in Nonlinear State-Space Models -- Linear State-Space Models in Macroeconomics and Finance -- Hidden Markov Models, Regime-Switching, and Mathematical Finance -- Nonlinear State-Space Models for High Frequency Financial Data -- Index En línea: http://dx.doi.org/10.1007/978-1-4614-7789-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32365 Ejemplares
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