Comparative study of estimation methods for continuous time stochastic processes

DOI10.1111/1467-9892.00064zbMath0882.62080OpenAlexW2059074024MaRDI QIDQ4367890

Tohru Ozaki, Isao Shoji

Publication date: 2 December 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00064

zbMATH Keywords

discretizationstochastic differential equationmaximum likelihood estimationgeneralized method of moments

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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