Estimating stochastic differential equations efficiently by minimum chi-squared
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Publication:4364850
DOI10.1093/BIOMET/84.1.125zbMath0953.62084OpenAlexW2162821851MaRDI QIDQ4364850
A. Ronald Gallant, Jonathan R. Long
Publication date: 29 January 2001
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/84.1.125
efficiencydiffusionsexchange ratespecification testpartially observed stateminimum chi-squared estimator
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)
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