Nonparametric statistics for stochastic processes : estimation and prediction /

This book is devoted to the theory and applications of nonparametric functional estimation and prediction. The second edition is extensively revised and contains two new chapters. One discusses the surprising local time density estimator. The other gives a detailed account of the implementation of n...

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Bibliographic Details

Main Author:	Bosq, Denis, 1939-
Format:	Book
Language:	English
Published:	New York : Springer, [1998], ©1998.
Edition:	Second edition.
Series:	Lecture notes in statistics (Springer-Verlag) ; v. 110.
Subjects:	Nonparametric statistics. Stochastic processes. Estimation theory.
Online Access:	Online Access Notre Dame Online Access Notre Dame Online Access
Summary:	This book is devoted to the theory and applications of nonparametric functional estimation and prediction. The second edition is extensively revised and contains two new chapters. One discusses the surprising local time density estimator. The other gives a detailed account of the implementation of nonparametric methods and practical examples in economics, finance, and physics. A comparison with ARMA and ARCH methods shows the efficiency of nonparametric forecasting. The book assumes a knowledge of classical probability theory and statistics.