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Azais, Romain

Statistical Inference for Piecewise-deterministic Markov Processes

Azais, Romain - Statistical Inference for Piecewise-deterministic Markov Processes, ebook

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ISBN: 9781119544098
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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.

Keywords: Probability & Mathematical Statistics, Probability & Mathematical Statistics

Editor
 
Publisher
John Wiley and Sons, Inc.
Publication year
2018
Language
en
Edition
1
Page amount
300 pages
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781119544098
Printed ISBN
9781786303028

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