Statistical Inference for Piecewise-deterministic Markov Processes

ISBN: 1786303027

Category: Uncategorized

Tag: Database/SQL

Posted on 2018-08-16, by nokia241186.


Romain Azais and Florian Bouguet, "Statistical Inference for Piecewise-deterministic Markov Processes"
English | ISBN: 1786303027 | 2018 | 300 pages | PDF | 7 MB

Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance, neuroscience, networks, finance. Such processes are defined by a deterministic motion punctuated by random jumps at random times, and offer simple yet challenging models to study. Nevertheless, the issue of statistical estimation of the parameters ruling the jump mechanism is far from trivial. Responding to new developments in the field as well as to current research interests and needs, Statistical inference for piecewise-deterministic Markov processes offers a detailed and comprehensive survey of state-of-the-art results. It covers a wide range of general processes as well as applied models. The present book also dwells on statistics in the context of Markov chains, since piecewise-deterministic Markov processes are characterized by an embedded Markov chain corresponding to the position of the process right after the jumps.
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