Exponential Families of Stochastic Processes

A comprehensive account of the statistical theory of exponential families of shastic processes. The book reviews the progress in the field made over the last ten years or so by the authors - two of the leading experts in the field - and several other researchers. The theory is applied to a broad spectrum of examples, covering a large number of frequently applied shastic process models with discrete as well as continuous time. To make the reading even easier for statisticians with only a basic background in the theory of shastic process, the first part of the book is based on classical theory of shastic processes only, while shastic calculus is used later. Most of the concepts and tools from shastic calculus needed when working with inference for shastic processes are introduced and explained without proof in an appendix. This appendix can also be used independently as an introduction to shastic calculus for statisticians. Numerous exercises are also included.