Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

DOI10.1016/J.SPL.2009.07.015zbMath1171.62341OpenAlexW2024226074MaRDI QIDQ734708

Yasutaka Shimizu

Publication date: 13 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.015

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (13)

Double asymptotics for explosive continuous time models ⋮ Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters ⋮ Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes ⋮ Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ LAMN property for multivariate inhomogeneous diffusions with discrete observations ⋮ Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes ⋮ Estimation of parameters for discretely observed diffusion processes with a variety of rates for information ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process ⋮ Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift ⋮ Statistical inference for nonergodic weighted fractional Vasicek models

Cites Work

• Unnamed Item
• Unnamed Item
• Parametric inference for discretely observed non-ergodic diffusions
• The consistency of a nonlinear least squares estimator from diffusion processes
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Some comments concerning a curious singularity
• Estimation of an Ergodic Diffusion from Discrete Observations
• Parameter estimation for some non-recurrent solutions of SDE

This page was built for publication: Notes on drift estimation for certain non-recurrent diffusion processes from sampled data