Estimating functions and equivariance for diffusion models

MaRDI QIDQ4991251zbMATH OpenFDO

Authors L. Ramprasath, T. M. Durairajan

Publication date 2 June 2021

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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(2)

• Simplified estimating functions for diffusion models with a high-dimensional parameter
• Diffusion approximation of statistical experiments with persistent linear regression and equilibrium

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