Approximate maximum likelihood estimation for diffusion processes from discrete observations

DOI10.1080/17442509508833960zbMath0864.60048OpenAlexW2084442070MaRDI QIDQ4890036

Mahendra Nath Mishra, Jaya P. N. Bishwal

Publication date: 3 June 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509508833960

zbMATH Keywords

stochastic differential equationdiffusion processmaximum likelihood estimatetrapezoidal rulediscrete samplingregularly spaced time interval

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ On local linear approximations to diffusion processes ⋮ Trajectory fitting estimators for SPDEs driven by additive noise ⋮ A new estimating function for discretely sampled diffusions ⋮ Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process

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