On a family of test statistics for discretely observed diffusion processes (Q391894): Difference between revisions

@@ Property / author @@
-Stefano Maria Iacus
@@ Property / author: Stefano Maria Iacus / rank @@
-Normal rank
@@ Property / author @@
+Stefano Maria Iacus
@@ Property / author: Stefano Maria Iacus / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M02
@@ Property / Mathematics Subject Classification ID: 62M02 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F05
@@ Property / Mathematics Subject Classification ID: 62F05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 62G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6244549
@@ Property / zbMATH DE Number: 6244549 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discrete observations
@@ Property / zbMATH Keywords: discrete observations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+distribution free tests
@@ Property / zbMATH Keywords: distribution free tests / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+divergence measures
@@ Property / zbMATH Keywords: divergence measures / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized likelihood ratio tests
@@ Property / zbMATH Keywords: generalized likelihood ratio tests / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+parametric hypotheses testing
@@ Property / zbMATH Keywords: parametric hypotheses testing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-likelihood functions
@@ Property / zbMATH Keywords: quasi-likelihood functions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equations
@@ Property / zbMATH Keywords: stochastic differential equations / rank @@
+Normal rank
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+sde
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+W2081339969
@@ Property / OpenAlex ID: W2081339969 / rank @@
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@@ Property / arXiv ID @@
+.2689
@@ Property / arXiv ID: 1111.2689 / rank @@
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@@ Property / cites work @@
+A test for model specification of diffusion processes
+Normal rank
@@ Property / cites work @@
+Q3687500
@@ Property / cites work: Q3687500 / rank @@
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@@ Property / cites work @@
+Q5539511
@@ Property / cites work: Q5539511 / rank @@
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@@ Property / cites work @@
+On Rényi information for ergodic diffusion processes
+Normal rank
@@ Property / cites work @@
+ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
+Normal rank
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+On estimating the diffusion coefficient from discrete observations
+Normal rank
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+On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
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+A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
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+Estimation for stochastic differential equations with a small diffusion coefficient
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+Simulation and inference for stochastic differential equations. With R examples.
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+Estimation of an Ergodic Diffusion from Discrete Observations
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+Exponential families of stochastic processes
@@ Property / cites work: Exponential families of stochastic processes / rank @@
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+Q3330343
@@ Property / cites work: Q3330343 / rank @@
+Normal rank
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+Q3645225
@@ Property / cites work: Q3645225 / rank @@
+Normal rank
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+RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
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+Some new statistics for testing hypotheses in parametric models
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+Quasi-likelihood analysis for the stochastic differential equation with jumps
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+Q5702553
@@ Property / cites work: Q5702553 / rank @@
+Normal rank
@@ Property / cites work @@
+Rényi test statistics for partially observed diffusion processes
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@@ Property / cites work @@
+\(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
+Normal rank
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+Estimation of parameters for diffusion processes with jumps from discrete observations
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+Small-diffusion asymptotics for discretely sampled stochastic differential equations
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+Information criteria for small diffusions via the theory of Malliavin-Watanabe
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+Q3352215
@@ Property / cites work: Q3352215 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation for diffusion processes from discrete observation
+Normal rank
@@ Property / cites work @@
+Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
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@@ links / mardi / name / links / mardi / name @@
+Publication:391894