On minimum uniform metric estimate of parameters of diffusion-type processes

DOI10.1016/0304-4149(94)90044-2zbMath0801.62076MaRDI QIDQ1336971

P. Pilibossian, Yury A. Kutoyants

Publication date: 30 November 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90044-2

zbMATH Keywords

consistency; diffusion coefficient; limit distribution; supremum norm; diffusion-type process; minimum distance estimate; finite-dimensional parameter estimation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

62M05: Markov processes: estimation; hidden Markov models

Related Items

Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case, Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises, On penalized estimation for dynamical systems with small noise, Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable, Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process, The law of iterated logarithm for the estimations of diffusion-type processes

Cites Work

• The minimum distance method of testing
• A General Approach to the Optimality of Minimum Distance Estimators
• On minimum distance estimation of location based on the kolmogorov statistic
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