Nonparametric statistics for stochastic processes
Subtitle: estimation and prediction
By: D. Bosq.
Edition: 2nd ed.
Series: Lecture notes in statistics ;; 110; Lecture notes in statistics (Springer-Verlag) ;; v. 110.
Publisher: Springer
Published: 1998
Place of publication: New York
Language: eng
Number of pages: 210
Subjects: Nonparametric statistics; Stochastic processes; Estimation theory
Description: 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.
Notes: Includes bibliographical references (p. [196]-206) and index.