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＜電子ブック＞
Statistical Inference for Financial Engineering / by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
(SpringerBriefs in Statistics. ISSN:21915458)

版	1st ed. 2014.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2014
本文言語	英語
大きさ	X, 118 p. 15 illus., 6 illus. in color : online resource
著者標目	*Taniguchi, Masanobu author Amano, Tomoyuki author Ogata, Hiroaki author Taniai, Hiroyuki author SpringerLink (Online service)
件　名	LCSH:Statistics  LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Macroeconomics FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Mathematics in Business, Economics and Finance FREE:Macroeconomics and Monetary Economics
一般注記	Preface -- Features of Financial Data -- Empirical Likelihood Approaches for Financial Returns -- Various Methods for Financial Engineering -- Some Techniques for ARCH Financial Time Series -- Index This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics HTTP:URL=https://doi.org/10.1007/978-3-319-03497-3

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