Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
From MaRDI portal
Publication:2412763
DOI10.1007/s11203-016-9142-4MaRDI QIDQ2412763
Gustaw Matulewicz, Emmanuel Gobet
Publication date: 27 October 2017
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-016-9142-4
incomplete information; asymptotic properties of estimators; stochastic graph process; inference for stochastic process
62F12: Asymptotic properties of parametric estimators
05C80: Random graphs (graph-theoretic aspects)
62M99: Inference from stochastic processes
60J60: Diffusion processes
Related Items
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions, The Dantzig selector for a linear model of diffusion processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Correlation inequalities and applications to vector-valued Gaussian random variables and fractional Brownian motion
- Parametric estimation for partially hidden diffusion processes sampled at discrete times
- Statistics on crossings of discretized diffusions and local time
- Estimation for diffusion processes from discrete observation
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Statistical inference for ergodic diffusion processes.
- A multivariate central limit theorem for continuous local martingales
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- LAN property for ergodic diffusions with discrete observations
- Mean field games and systemic risk
- Stability in a Model of Interbank Lending
- Approximate discrete-time schemes for statistics of diffusion processes
- Gaussian Hilbert Spaces
- Estimation of an Ergodic Diffusion from Discrete Observations
- Stochastic Kronecker Graphs