Mathematical Statistics And Stochastic Processes

Author : Denis Bosq
Publisher : John Wiley & Sons
Page : 218 pages
File Size : 47,9 Mb
Release : 2013-02-04
Category : Mathematics
ISBN : 9781118586273

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Mathematical Statistics and Stochastic Processes by Denis Bosq Pdf

Generally, books on mathematical statistics are restricted to the case of independent identically distributed random variables. In this book however, both this case AND the case of dependent variables, i.e. statistics for discrete and continuous time processes, are studied. This second case is very important for today’s practitioners. Mathematical Statistics and Stochastic Processes is based on decision theory and asymptotic statistics and contains up-to-date information on the relevant topics of theory of probability, estimation, confidence intervals, non-parametric statistics and robustness, second-order processes in discrete and continuous time and diffusion processes, statistics for discrete and continuous time processes, statistical prediction, and complements in probability. This book is aimed at students studying courses on probability with an emphasis on measure theory and for all practitioners who apply and use statistics and probability on a daily basis.

Author : Robert B. Ash,Melvin F. Gardner
Publisher : Academic Press
Page : 332 pages
File Size : 43,7 Mb
Release : 2014-06-20
Category : Mathematics
ISBN : 9781483191430

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Topics in Stochastic Processes by Robert B. Ash,Melvin F. Gardner Pdf

Topics in Stochastic Processes covers specific processes that have a definite physical interpretation and that explicit numerical results can be obtained. This book contains five chapters and begins with the L2 stochastic processes and the concept of prediction theory. The next chapter discusses the principles of ergodic theorem to real analysis, Markov chains, and information theory. Another chapter deals with the sample function behavior of continuous parameter processes. This chapter also explores the general properties of Martingales and Markov processes, as well as the one-dimensional Brownian motion. The aim of this chapter is to illustrate those concepts and constructions that are basic in any discussion of continuous parameter processes, and to provide insights to more advanced material on Markov processes and potential theory. The final chapter demonstrates the use of theory of continuous parameter processes to develop the Itô stochastic integral. This chapter also provides the solution of stochastic differential equations. This book will be of great value to mathematicians, engineers, and physicists.

Author : Peter Olofsson,Mikael Andersson
Publisher : John Wiley & Sons
Page : 573 pages
File Size : 40,9 Mb
Release : 2012-05-04
Category : Mathematics
ISBN : 9781118231326

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Probability, Statistics, and Stochastic Processes by Peter Olofsson,Mikael Andersson Pdf

Praise for the First Edition ". . . an excellent textbook . . . well organized and neatly written." —Mathematical Reviews ". . . amazingly interesting . . ." —Technometrics Thoroughly updated to showcase the interrelationships between probability, statistics, and stochastic processes, Probability, Statistics, and Stochastic Processes, Second Edition prepares readers to collect, analyze, and characterize data in their chosen fields. Beginning with three chapters that develop probability theory and introduce the axioms of probability, random variables, and joint distributions, the book goes on to present limit theorems and simulation. The authors combine a rigorous, calculus-based development of theory with an intuitive approach that appeals to readers' sense of reason and logic. Including more than 400 examples that help illustrate concepts and theory, the Second Edition features new material on statistical inference and a wealth of newly added topics, including: Consistency of point estimators Large sample theory Bootstrap simulation Multiple hypothesis testing Fisher's exact test and Kolmogorov-Smirnov test Martingales, renewal processes, and Brownian motion One-way analysis of variance and the general linear model Extensively class-tested to ensure an accessible presentation, Probability, Statistics, and Stochastic Processes, Second Edition is an excellent book for courses on probability and statistics at the upper-undergraduate level. The book is also an ideal resource for scientists and engineers in the fields of statistics, mathematics, industrial management, and engineering.

Author : A. A. Novikov,Alʹbert Nikolaevich Shiri︠a︡ev
Publisher : American Mathematical Soc.
Page : 260 pages
File Size : 40,5 Mb
Release : 1994
Category : Mathematics
ISBN : 0821804111

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Statistics and Control of Random Processes by A. A. Novikov,Alʹbert Nikolaevich Shiri︠a︡ev Pdf

This book contains papers by participants in two seminars, one on martingales and statistics of stochastic processes, and one on sequential analysis, both of which were held at the Steklov Institute of the Russian Academy of Sciences. The papers develop the concepts of martingales and seminmartingales and stochastic calculus for them, as well as their applications in statistics and control of stochastic processes. The class of semimartingales - that is, the class of all processes which can be represented as a sum of a martingale and a process with bounded variation - is rather large. It contains such important processes as Brownian motion, Poisson processes, solutions of stochastic differential equations, and others. The papers treat theoretical aspects of statistics of stochastic processes as well as specific models of stochastic processes from the standpoint of their statistics and control. The collection is intended for undergraduate and graduate students and researchers in probability theory and mathematical statistics.

Author : Hossein Pishro-Nik
Publisher : Unknown
Page : 746 pages
File Size : 54,7 Mb
Release : 2014-08-15
Category : Probabilities
ISBN : 0990637204

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Introduction to Probability, Statistics, and Random Processes by Hossein Pishro-Nik Pdf

The book covers basic concepts such as random experiments, probability axioms, conditional probability, and counting methods, single and multiple random variables (discrete, continuous, and mixed), as well as moment-generating functions, characteristic functions, random vectors, and inequalities; limit theorems and convergence; introduction to Bayesian and classical statistics; random processes including processing of random signals, Poisson processes, discrete-time and continuous-time Markov chains, and Brownian motion; simulation using MATLAB and R.

Author : Jyotiprasad Medhi
Publisher : New Age International
Page : 664 pages
File Size : 52,6 Mb
Release : 1994
Category : Procesos estocásticos
ISBN : 8122405495

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Stochastic Processes by Jyotiprasad Medhi Pdf

Aims At The Level Between That Of Elementary Probability Texts And Advanced Works On Stochastic Processes. The Pre-Requisites Are A Course On Elementary Probability Theory And Statistics, And A Course On Advanced Calculus. The Theoretical Results Developed Have Been Followed By A Large Number Of Illustrative Examples. These Have Been Supplemented By Numerous Exercises, Answers To Most Of Which Are Also Given. It Will Suit As A Text For Advanced Undergraduate, Postgraduate And Research Level Course In Applied Mathematics, Statistics, Operations Research, Computer Science, Different Branches Of Engineering, Telecommunications, Business And Management, Economics, Life Sciences And So On. A Review Of The Book In American Mathematical Monthly (December 82) Gives This Book Special Positive Emphasis As A Textbook As Follows: 'Of The Dozen Or More Texts Published In The Last Five Years Aimed At The Students With A Background Of A First Course In Probability And Statistics But Not Yet To Measure Theory, This Is The Clear Choice. An Extremely Well Organized, Lucidly Written Text With Numerous Problems, Examples And Reference T* (With T* Where T Denotes Textbook And * Denotes Special Positive Emphasis). The Current Enlarged And Revised Edition, While Retaining The Structure And Adhering To The Objective As Well As Philosophy Of The Earlier Edition, Removes The Deficiencies, Updates The Material And The References And Aims At A Border Perspective With Substantial Additions And Wider Coverage.

Author : Emanuel Parzen
Publisher : SIAM
Page : 339 pages
File Size : 49,6 Mb
Release : 1999-12-01
Category : Mathematics
ISBN : 9780898714418

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Stochastic Processes by Emanuel Parzen Pdf

Ideal for courses aiming to give examples of the wide variety of empirical phenomena for which stochastic processes provide mathematical models. It introduces the methods of probability model building and provides the reader with mathematically sound techniques as well as the ability to further study the theory of stochastic processes.

Author : Kabanov Yu M,Shiryaev Albert N,Rozovskii Boris L
Publisher : World Scientific
Page : 376 pages
File Size : 54,6 Mb
Release : 1997-12-04
Category : Electronic
ISBN : 9789814545501

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Statistics And Control Of Stochastic Processes: The Liptser Festschrift by Kabanov Yu M,Shiryaev Albert N,Rozovskii Boris L Pdf

This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.

Author : Jeffrey S Rosenthal
Publisher : World Scientific
Page : 213 pages
File Size : 48,5 Mb
Release : 2019-09-26
Category : Mathematics
ISBN : 9789811207921

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A First Look At Stochastic Processes by Jeffrey S Rosenthal Pdf

This textbook introduces the theory of stochastic processes, that is, randomness which proceeds in time. Using concrete examples like repeated gambling and jumping frogs, it presents fundamental mathematical results through simple, clear, logical theorems and examples. It covers in detail such essential material as Markov chain recurrence criteria, the Markov chain convergence theorem, and optional stopping theorems for martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and renewal theory.Interspersed throughout are applications to such topics as gambler's ruin probabilities, random walks on graphs, sequence waiting times, branching processes, stock option pricing, and Markov Chain Monte Carlo (MCMC) algorithms.The focus is always on making the theory as well-motivated and accessible as possible, to allow students and readers to learn this fascinating subject as easily and painlessly as possible.

Author : I︠U︡riĭ Anatolʹevich Rozanov
Publisher : Springer
Page : 280 pages
File Size : 40,6 Mb
Release : 1995-10-31
Category : Mathematics
ISBN : UOM:39015037306837

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Probability Theory, Random Processes and Mathematical Statistics by I︠U︡riĭ Anatolʹevich Rozanov Pdf

The second part (Chapters 4-6) provides a foundation of stochastic analysis, gives information on basic models of random processes and tools to study them. Here a certain familiarity with elements of functional analysis is necessary. Important material is presented in the form of examples to keep readers involved. Audience: This is a concise textbook for a graduate level course, with carefully selected topics representing the most important areas of modern probability, random processes and statistics.

Author : Wilfried Grossmann,J. Mogyoródi,I. Vincze,Wolfgang Wertz
Publisher : Springer Science & Business Media
Page : 482 pages
File Size : 50,9 Mb
Release : 1988-02-29
Category : Mathematics
ISBN : 9027725470

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Probability Theory and Mathematical Statistics with Applications by Wilfried Grossmann,J. Mogyoródi,I. Vincze,Wolfgang Wertz Pdf

Proceedings of the 5th Pannonian Symposium, Visegrad, Hungary, May 20-24, 1985

Author : Emanuel Parzen
Publisher : Unknown
Page : 338 pages
File Size : 53,9 Mb
Release : 2013-07
Category : Electronic
ISBN : 1258766442

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Stochastic Processes by Emanuel Parzen Pdf

Author : Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić
Publisher : Springer Nature
Page : 976 pages
File Size : 43,8 Mb
Release : 2020-06-18
Category : Mathematics
ISBN : 9783030418502

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Algebraic Structures and Applications by Sergei Silvestrov,Anatoliy Malyarenko,Milica Rančić Pdf

This book explores the latest advances in algebraic structures and applications, and focuses on mathematical concepts, methods, structures, problems, algorithms and computational methods important in the natural sciences, engineering and modern technologies. In particular, it features mathematical methods and models of non-commutative and non-associative algebras, hom-algebra structures, generalizations of differential calculus, quantum deformations of algebras, Lie algebras and their generalizations, semi-groups and groups, constructive algebra, matrix analysis and its interplay with topology, knot theory, dynamical systems, functional analysis, stochastic processes, perturbation analysis of Markov chains, and applications in network analysis, financial mathematics and engineering mathematics. The book addresses both theory and applications, which are illustrated with a wealth of ideas, proofs and examples to help readers understand the material and develop new mathematical methods and concepts of their own. The high-quality chapters share a wealth of new methods and results, review cutting-edge research and discuss open problems and directions for future research. Taken together, they offer a source of inspiration for a broad range of researchers and research students whose work involves algebraic structures and their applications, probability theory and mathematical statistics, applied mathematics, engineering mathematics and related areas.

Author : Denis Bosq
Publisher : Springer Science & Business Media
Page : 181 pages
File Size : 40,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781468404890

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Nonparametric Statistics for Stochastic Processes by Denis Bosq Pdf

This book provides a mathematically rigorous treatment of the theory of nonparametric estimation and prediction for stochastic processes. It discusses discrete time and continuous time, and the emphasis is on the kernel methods. Several new results are presented concerning optimal and superoptimal convergence rates. How to implement the method is discussed in detail and several numerical results are presented. This book will be of interest to specialists in mathematical statistics and to those who wish to apply these methods to practical problems involving time series analysis.

Author : Aliakbar Montazer Haghighi,Indika Wickramasinghe
Publisher : CRC Press
Page : 635 pages
File Size : 41,5 Mb
Release : 2020-07-14
Category : Mathematics
ISBN : 9781351238397

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Probability, Statistics, and Stochastic Processes for Engineers and Scientists by Aliakbar Montazer Haghighi,Indika Wickramasinghe Pdf

2020 Taylor & Francis Award Winner for Outstanding New Textbook! Featuring recent advances in the field, this new textbook presents probability and statistics, and their applications in stochastic processes. This book presents key information for understanding the essential aspects of basic probability theory and concepts of reliability as an application. The purpose of this book is to provide an option in this field that combines these areas in one book, balances both theory and practical applications, and also keeps the practitioners in mind. Features Includes numerous examples using current technologies with applications in various fields of study Offers many practical applications of probability in queueing models, all of which are related to the appropriate stochastic processes (continuous time such as waiting time, and fuzzy and discrete time like the classic Gambler’s Ruin Problem) Presents different current topics like probability distributions used in real-world applications of statistics such as climate control and pollution Different types of computer software such as MATLAB®, Minitab, MS Excel, and R as options for illustration, programing and calculation purposes and data analysis Covers reliability and its application in network queues