Detecting the sampling rate through observations

DOI10.1016/J.CNSNS.2018.02.031MaRDI QIDQ2207916zbMATH OpenOpenAlexFDO

Authors Isao Shoji

Publication date 23 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2018.02.031

zbMATH Keywords

maximum likelihood estimationKullback-Leibler divergencestochastic differential equationsampling rate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic analysis (60H99)

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Cites work

• scientific article; zbMATH DE number 44054 (Why is no real title available?)
• scientific article; zbMATH DE number 1767707 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Elements of Information Theory
• Estimating stochastic differential equations efficiently by minimum chi-squared
• Estimation of an Ergodic Diffusion from Discrete Observations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Parametric Inference for Discretely Sampled Stochastic Differential Equations

Cited in

(2)

• Data driven time scale in Gaussian quasi-likelihood inference
• Transient dynamics of Pearson diffusions facilitates estimation of rate parameters

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