Estimation for Dynamical Systems with Small Noise from Discrete Observations

DOI10.14490/JJSS.33.157MaRDI QIDQ4678109zbMATH OpenOpenAlexFDO

Authors Masayuki Uchida

Publication date 23 May 2005

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/4dab25063b09b63727df6a94d8ac0fd58db87617

zbMATH Keywords

diffusion modelsdiscrete time observationsquadratic martingale estimating function

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(20)

• Modelization and nonparametric estimation for dynamical systems with noise
• On penalized estimation for dynamical systems with small noise
• Hybrid estimators for small diffusion processes based on reduced data
• Semiparametric estimation for dynamical systems with small noise.
• Estimation for incomplete information stochastic systems from discrete observations
• Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
• Efficient Estimation of Dynamical Systems
• scientific article; zbMATH DE number 4055503 (Why is no real title available?)
• Semiparametric estimation of a functional of the drift coefficient for a non-homogeneous dynamical system with small noise
• Parameter estimation via homogenization for stochastic dynamical systems with oscillating coefficients
• Estimating the unknown parameter in weak-signal systems
• scientific article; zbMATH DE number 4121252 (Why is no real title available?)
• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• Semiparametric estimation of a functional of the drift coefficient of a dynamical system with small noise
• Semiparametric estimation of the state of a dynamical system with small noise
• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
• Adaptive inference for small diffusion processes based on sampled data
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes
• Approximate martingale estimating functions for stochastic differential equations with small noises

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