Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter

DOI10.1111/1467-9469.00226zbMath0973.60071OpenAlexW2055943658MaRDI QIDQ2722305

Bo Martin Bibby, Michael Sørensen

Publication date: 11 July 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00226

zbMATH Keywords

consistencyasymptotic normalitystochastic differential equationsOrnstein-Uhlenbeck processCox-Ingersoll-Ross modelstock priceswind velocitypseudo likelihoodhyperbolic diffusionsdiscretely observed diffusions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60)

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Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ A necessary characteristic equation of diffusion processes having Gaussian marginals ⋮ Stein's method for invariant measures of diffusions via Malliavin calculus ⋮ Efficient estimators for functionals of Markov chains with parametric marginals. ⋮ Estimating Functions in Indirect Inference ⋮ Langevin diffusions on the torus: estimation and applications ⋮ Inference for Observations of Integrated Diffusion Processes ⋮ Diffusion-type models with given marginal distribution and autocorrelation function ⋮ Evidential inference for diffusion-type processes ⋮ Parameter Estimation for a Discretely Observed Integrated Diffusion Process

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