Estimating a class of diffusions from discrete observations via approximate maximum likelihood method

DOI10.1080/02331888.2017.1382496zbMath1458.62186arXiv1607.06699OpenAlexW3102827149MaRDI QIDQ5147562

Miljenko Huzak

Publication date: 27 January 2021

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06699

zbMATH Keywords

parameter estimationdiffusion processesdiscrete observation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (2)

Parameter estimation for generalized Ait-Sahalia-type interest rate model ⋮ Adaptive control of diffusion processes with a discounted reward criterion

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