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Statistical Inference for Piecewise-Deterministic Markov Processes by Romain Azais

Statistical Inference for Piecewise-Deterministic Markov Processes

by Romain Azais
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Book cover type: Hardcover
  • ISBN13: 9781786303028
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley-Iste
  • Publisher Imprint: Wiley-Iste
  • Publication Date:
  • Pages: 300
  • Original Price: USD 177.95
  • Language: English
  • Edition: N/A
  • Item Weight: 360 grams
  • BISAC Subject(s): Probability & Statistics / General

Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance, neuroscience, networks, finance... Such processes are defined by a deterministic motion punctuated by random jumps at random times, and offer simple yet challenging models to study. Nevertheless, the issue of statistical estimation of the parameters ruling the jump mechanism is far from trivial.

Responding to new developments in the field as well as to current research interests and needs, Statistical inference for piecewise-deterministic Markov processes offers a detailed and comprehensive survey of state-of-the-art results. It covers a wide range of general processes as well as applied models. The present book also dwells on statistics in the context of Markov chains, since piecewise-deterministic Markov processes are characterized by an embedded Markov chain corresponding to the position of the process right after the jumps.

 

AZAÏS Romain, Inria Nancy - Grand Est, Institut Elie Cartan de Lorraine.

BOUGUET Florian, Inria Nancy - Grand Est, Institut Elie Cartan de Lorraine.

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