Discretely observed diffusions: Approximation of the continuous-time score function

DOI10.1111/1467-9469.00227MaRDI QIDQ2722306zbMATH OpenOpenAlexFDO

Authors Helle Sørensen

Publication date 11 July 2001

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

Full work available at URL https://doi.org/10.1111/1467-9469.00227

zbMATH Keywords

estimating functiondiffusion processdiscrete observationscontinuous-time score function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

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Cited in

(8)

• A new estimating function for discretely sampled diffusions
• Estimating continuous-time models with discretely sampled data
• Estimation for discretely observed diffusions using transform functions
• Parametric inference for diffusion processes observed at discrete points in time: a survey
• ANOVA for diffusions and Itō processes
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Estimating Functions in Indirect Inference
• Discretely observed diffusions: Classes of estimating functions and small -optimality

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