On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations (Q307401): Difference between revisions
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stochastic differential equations | |||
| Property / zbMATH Keywords: stochastic differential equations / rank | |||
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least squares estimator | |||
| Property / zbMATH Keywords: least squares estimator / rank | |||
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Brownian motion | |||
| Property / zbMATH Keywords: Brownian motion / rank | |||
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Girsanov transformation | |||
| Property / zbMATH Keywords: Girsanov transformation / rank | |||
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discrete observation | |||
| Property / zbMATH Keywords: discrete observation / rank | |||
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consistency | |||
| Property / zbMATH Keywords: consistency / rank | |||
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asymptotic distribution | |||
| Property / zbMATH Keywords: asymptotic distribution / rank | |||
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Revision as of 23:18, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations |
scientific article |
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On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations (English)
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1 September 2016
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stochastic differential equations
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least squares estimator
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Brownian motion
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Girsanov transformation
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discrete observation
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consistency
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asymptotic distribution
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