Der Artikel ist weiterhin als ^^OTHERCONDITION^^ verfügbar.
Autor: Alexandre Brouste
ISBN-13: 9780081012611
Einband: EPUB
Seiten: 202
Sprache: Englisch
eBook Typ: Adobe Digital Editions
eBook Format: EPUB
Kopierschutz: Adobe DRM [Hard-DRM]
Systemvoraussetzungen
Der Artikel wird am Ende des Bestellprozesses zum Download zur Verfügung gestellt.

Statistical Inference in Financial and Insurance Mathematics with R

Geben Sie Ihre Bewertung ab!  
Wir verlosen jeden Monat unter allen freigegebenen Rezensionen
3 Gutscheine im Wert von 20 Euro. Teilnahmebedingungen
2
Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying observation samples of independent but not identically distributed random variables or even dependent random variables. Three examples of such experiments are treated in this book. First, the Generalized Linear Models are studied. They extend the standard regression model to non-Gaussian distributions. Statistical experiments with Markov chains are considered next. Finally, various statistical experiments generated by fractional Gaussian noise are also described. In this book, asymptotic properties of several sequences of estimators are detailed. The notion of asymptotical efficiency is discussed for the different statistical experiments considered in order to give the proper sense of estimation risk. Eighty examples and computations with R software are given throughout the text.Examines a range of statistical inference methods in the context of finance and insurance applicationsPresents the LAN (local asymptotic normality) property of likelihoodsCombines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematicsProvides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments
1
Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of probability measures of an exponential type. However, the aforementioned applications also offer non-classical experiments implying observation samples of independent but not identically distributed random variables or even dependent random variables. Three examples of such experiments are treated in this book. First, the Generalized Linear Models are studied. They extend the standard regression model to non-Gaussian distributions. Statistical experiments with Markov chains are considered next. Finally, various statistical experiments generated by fractional Gaussian noise are also described. In this book, asymptotic properties of several sequences of estimators are detailed. The notion of asymptotical efficiency is discussed for the different statistical experiments considered in order to give the proper sense of estimation risk. Eighty examples and computations with R software are given throughout the text.Examines a range of statistical inference methods in the context of finance and insurance applicationsPresents the LAN (local asymptotic normality) property of likelihoodsCombines the proofs of LAN property for different statistical experiments that appears in financial and insurance mathematicsProvides the proper description of such statistical experiments and invites readers to seek optimal estimators (performed in R) for such statistical experiments

Zu diesem Artikel ist noch keine Rezension vorhanden.
Helfen sie anderen Besuchern und verfassen Sie selbst eine Rezension.

 

Rezensionen

Autor: Alexandre Brouste
ISBN-13 :: 9780081012611
ISBN: 0081012616
Verlag: Elsevier Science
Seiten: 202
Sprache: Englisch
Sonstiges: Ebook, Maximale Downloadanzahl: 3