Comparative study of estimation methods for continuous time stochastic processes

DOI10.1111/1467-9892.00064MaRDI QIDQ4367890zbMATH OpenOpenAlexFDO

Authors Isao Shoji, Tohru Ozaki

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

discretizationgeneralized method of momentsmaximum likelihood estimationstochastic differential equation

Mathematics Subject Classification ID

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

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Cited in

(25)

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• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
• Rate of convergence of local linearization schemes for initial-value problems
• Fast continuous-discrete DAF-filters
• Local lagged adapted generalized method of moments and applications
• Nonlinear continuous time modeling approaches in panel research
• Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• A reliable numerical analysis for stochastic gonorrhea epidemic model with treatment effect
• Estimating continuous-time models with discretely sampled data
• Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
• Local Linear Approximations of Jump Diffusion Processes
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• A time-varying stochastic framework for modeling wireless channels
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach

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