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| 文件名: (Statistics and Econometrics for Finance 1) Tze Leung Lai, Vibhav Bukkapatanam, .pdf | |
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很抱歉，很久没有为大家提供书籍。这次为大家提供的依然是Springer的，《State Space Model—Applications in Economics and Finance》，如果大家有做过状态空间模型，应该可以知道其采用的方法一般是卡尔曼滤波，对于解决非线性回归起到了很大的作用。楼主曾经用此方法发表过一篇论文。如果大家有兴趣不妨去了解一下。
书名：State Space Model—Applications in Economics and Finance 介绍：State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data.The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals. 下载： |
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