The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory of statistical inference for semimartingales. Semimartingales and their Statistical Inference fills this need by presenting a comprehensive discussion of the asymptotic theory of statistical inference for semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state of the art in the inferential aspect for semimartingales.

Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability. The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales. Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include: Asymptotic likelihood theory Quasi-likelihood Likelihood and efficiency Inference for counting processes Inference for semimartingale regression models The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.

This textbook is devoted to the general asymptotic theory of statistical experiments. Local asymptotics for statistical models in the sense of local asymptotic (mixed) normality or local asymptotic quadraticity make up the core of the book. Numerous examples deal with classical independent and identically distributed models and with stochastic processes. The book can be read in different ways, according to possibly different mathematical preferences of the reader. One reader may focus on the statistical theory, and thus on the chapters about Gaussian shift models, mixed normal and quadratic models, and on local asymptotics where the limit model is a Gaussian shift or a mixed normal or a quadratic experiment (LAN, LAMN, LAQ). Another reader may prefer an introduction to stochastic process models where given statistical results apply, and thus concentrate on subsections or chapters on likelihood ratio processes and some diffusion type models where LAN, LAMN or LAQ occurs. Finally, readers might put together both aspects. The book is suitable for graduate students starting to work in statistics of stochastic processes, as well as for researchers interested in a precise introduction to this area.

This book deals with different modern topics in probability, statistics and operations research. It has been written lucidly in a novel way. Wherever necessary, the theory is explained in great detail, with suitable illustrations. Numerous references are given, so that young researchers who want to start their work in a particular area will benefit immensely from the book.The contributors are distinguished statisticians and operations research experts from all over the world.

The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.

Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. - Presents a broad survey of current research - Contributors are leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections