| Record ID | marc_columbia/Columbia-extract-20221130-031.mrc:61615033:4999 |
| Source | marc_columbia |
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LEADER: 04999cam a2200637 a 4500
001 15075447
005 20220827230305.0
006 m o d
007 cr mn|||||||||
008 090415s2008 flua ob 001 0 eng d
035 $a(OCoLC)ocn318540664
035 $a(NNC)15075447
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020 $a9781584885917$q(alk. paper)
020 $a1584885912$q(alk. paper)
020 $a9781420011036$q(ebook)
020 $a1420011030$q(ebook)
035 $a(OCoLC)318540664$z(OCoLC)213468379$z(OCoLC)234081887$z(OCoLC)507410865$z(OCoLC)535494838$z(OCoLC)648349273$z(OCoLC)779923389$z(OCoLC)995003556$z(OCoLC)1031048501$z(OCoLC)1064079335$z(OCoLC)1102533798
037 $aTANDF_184315$bIngram Content Group
050 4 $aQA276$b.T27 2008
072 7 $aBUS$x027000$2bisacsh
082 04 $a332.01/51923$222
049 $aZCUA
100 1 $aTaniguchi, Masanobu.
245 10 $aOptimal statistical inference in financial engineering /$cMasanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki.
260 $aBoca Raton :$bChapman & Hall/CRC,$c©2008.
300 $a1 online resource (xii, 366 pages) :$billustrations
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
504 $aIncludes bibliographical references (pages 355-362) and index.
588 0 $aPrint version record.
505 0 $aPREFACE; ; INTRODUCTION; ; ELEMENTS OF PROBABILITY; Probability and Probability Distribution; Vector Random Variable and Independence; Expectation and Conditional Distribution; Convergence and Central Limit Theorems; ; STATISTICAL INFERENCE; Sufficient Statistics; Unbiased Estimators; Efficient Estimators; Asymptotically Efficient Estimators; ; VARIOUS STATISTICAL METHODS; Interval Estimation; Most Powerful Test; Various Tests; Discriminant Analysis; ; STOCHASTIC PROCESSES; Elements of Stochastic Processes; Spectral Analysis; Ergodicity, Mixing, and Martingale; Limit Theorems for Stochastic Processes; Exercise; ; TIME SERIES ANALYSIS; Time Series Model; Estimation of Time Series Models; Model Selection Problems; Nonparametric Estimation; Prediction of Time Series; Regression for Time Series; Long Memory Processes; Local Whittle Likelihood Approach; Nonstationary Processes; Semiparametric Estimation; Discriminant Analysis for Time Series; ; INTRODUCTION TO STATISTICAL FINANCIAL ENGINEERING; Option Pricing Theory; Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns; Estimation of Portfolio; Value-at-Risk (VaR) Problems; ; TERM STRUCTURE; Spot Rates and Discount Bonds; Estimation Procedures for Term Structure; ; CREDIT RATING; Parametric Clustering for Financial Time Series; Nonparametric Clustering for Financial Time Series; Credit Rating Based on Financial Time Series; ; APPENDIX; REFERENCES; INDEX.
520 $aUntil now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively describe actual financial data and illustrates how to properly estimate the proposed models. After explaining the elements of probability and statistical inference for independent observations, the book discusses the testing hypothesis and discriminant.
650 0 $aMathematical statistics.
650 0 $aFinancial engineering.
650 0 $aFinance$xStatistical methods.
650 6 $aIngénierie financière.
650 6 $aFinances$xMéthodes statistiques.
650 7 $aBUSINESS & ECONOMICS$xFinance.$2bisacsh
650 7 $aFinance$xStatistical methods.$2fast$0(OCoLC)fst00924417
650 7 $aFinancial engineering.$2fast$0(OCoLC)fst00924623
650 7 $aMathematical statistics.$2fast$0(OCoLC)fst01012127
650 17 $aStatistische modellen.$2gtt
650 17 $aStochastische processen.$2gtt
650 17 $aFinancieel management.$2gtt
650 17 $aReorganisatie.$2gtt
655 4 $aElectronic books.
700 1 $aHirukawa, Junichi.
700 1 $aTamaki, Kenichiro.
776 1 $aTaniguchi, Masanobu.$tOptimal statistical inference in financial engineering.$dBoca Raton : Chapman & Hall/CRC, ©2008$z9781584885917$w(DLC) 2007027986$w(OCoLC)154678189
856 40 $uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio15075447$zTaylor & Francis eBooks
852 8 $blweb$hEBOOKS