Statistical Analysis of Stochastic Processes in Time (Cambridge Series in Statistical and Probabilistic Mathematics)

Lindsey, J. K.

Cambridge University Press（2004/08発売）

• 製本 Hardcover:ハードカバー版／ページ数 354 p.
• 言語 ENG
• 商品コード 9780521837415
• DDC分類 519.23

基本説明

New in paperback. Hardcover was published in 2004. With examples from physical, biological and social sciences.

Full Description

This book was first published in 2004. Many observed phenomena, from the changing health of a patient to values on the stock market, are characterised by quantities that vary over time: stochastic processes are designed to study them. This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost all aspects of the subject and presents the theory in an easily accessible form that is highlighted by application to many examples. These examples arise from dozens of areas, from sociology through medicine to engineering. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Software (available from www.cambridge.org) is provided for the freely available R system for the reader to apply to all the models presented.

Contents

Preface; Part I. Basic Principles: 1. What is a stochastic process?; 2. Normal theory models and extensions; Part II. Categorical State Space: 3. Survival processes; 4. Recurrent events; 5. Discrete-time Markov chains; 6. Event histories; 7. Dynamics models; 8. More complex dependencies; Part III. Continuous State Space: 9. Time series; 10. Growth curves; 11. Dynamic models; 12. Repeated measurements; Bibliography; Author index; Subject index.