Estimators of diffusions with randomly spaced discrete observations: a general theory
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Publication:1766133
DOI10.1214/009053604000000427zbMath1062.62155arXivmath/0503679OpenAlexW3106197030MaRDI QIDQ1766133
Yacine Aït-Sahalia, Per Aslak Mykland
Publication date: 28 February 2005
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0503679
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
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- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Nonparametric Pricing of Interest Rate Derivative Securities
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
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