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Fitting Stochastic Processes
Just wondering if there's a book about fitting stochastic processes to data. I imagine it as sort of an econometrics book but with emphasis (or at least a few chapters) on the processess that are important in mathematical finance. For example, one that considers a Levy jump-diffusion process with parameters p1,...,pN and then discusses some estimation techniques and best practices. Is there anything out there that comes close?Thanks!
Fitting Stochastic Processes
These are the standard referencesSemimartingales and their Statistical Inference by B. L. S. Prakasa RaoStatistical Inference for Diffusion Type Processes by B. L. S. Prakasa Rao
Fitting Stochastic Processes
Thanks so much, I didn't know about them. The price is steep for my budget, which one is the most practical?
Last edited by DaGuy on August 8th, 2004, 10:00 pm, edited 1 time in total.
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Fitting Stochastic Processes
Both books are also available through the Wilmott bookshop:Statistical Inference for Diffusion Type Processeshttp://books.global-investor.com/books/20560.htm?ginPtrCode=10202Semimartingales and Their Statistical Inferencehttp://books.global-investor.com/books/20559.htm?ginPtrCode=10202Suzanne