Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

DOI10.1002/9781119663539zbMath1430.62007OpenAlexW2973520744MaRDI QIDQ5242027

Maksym Luz, Mikhail P. Moklyachuk

Publication date: 5 November 2019

Full work available at URL: https://doi.org/10.1002/9781119663539

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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