Estimating functions for noisy observations of ergodic diffusions

DOI10.1007/S11203-015-9121-1MaRDI QIDQ265660zbMATHOpenAlexFDO

Authors Benjamin Favetto

Publication date 4 April 2016

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-015-9121-1

zbMATH Keywords

central limit theoremdiffusion processdiscrete time noisy observationsestimating functionsparametric inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• A Tale of Two Time Scales
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• Diffusions with measurement errors. II. Optimal estimators
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Estimating functions for diffusion-type processes
• Estimation for diffusion processes from discrete observation
• Martingale estimation functions for discretely observed diffusion processes
• Maximnm contrast estimation for diffusion processes from discrete observations
• Microstructure noise in the continuous case: the pre-averaging approach
• Non-parametric drift estimation for diffusions from noisy data
• Non-parametric estimation of the diffusion coefficient from noisy data
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Optimality and small \(\Delta\)-optimality of martingale estimating functions
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process

Cited in

(13)

• Adaptive test for ergodic diffusions plus noise
• Estimating functions for jump-diffusions
• Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
• Inference for ergodic diffusions plus noise
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• On estimating a dynamic function of a stochastic system with averaging
• Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
• Inference on the Lévy measure in case of noisy observations
• Estimating functions and equivariance for diffusion models

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