Parameter estimation by deterministic approximation of a solution of a stochastic differential equation

DOI10.1080/15326349908807135zbMath0699.62080OpenAlexW2062474255WikidataQ115295191 ScholiaQ115295191MaRDI QIDQ3477843

R. A. Kasonga

Publication date: 1990

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807135

zbMATH Keywords

Wiener processOrnstein-Uhlenbeck processstrong consistencygrowth conditionsequationsLipschitz conditionsdeterministic approximation of solutions of stochastic differentialleast squares type estimatorsimulated observations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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