Inference for Observations of Integrated Diffusion Processes

DOI10.1111/j.1467-9469.2004.02_023.xzbMath1062.62157OpenAlexW2062042027WikidataQ55940993 ScholiaQ55940993MaRDI QIDQ4677104

Susanne Ditlevsen, Michael Sørensen

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2004.02_023.x

zbMATH Keywords

parameter estimationOrnstein-Uhlenbeck processestimating functionCox Ingersoll Ross model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

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