Estimation of Diffusion Processes by Simulated Moment Methods

DOI10.1111/1467-9469.00069MaRDI QIDQ4367881zbMATH OpenOpenAlexFDO

Authors Emmanuelle Clément

Publication date 8 June 1998

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

Full work available at URL https://doi.org/10.1111/1467-9469.00069

zbMATH Keywords

diffusion processdiscretization schemeEuler schemesimulated moment methods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(9)

• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Generators of Feller semigroups with coefficients depending on parameters and optimal estimators
• Moment estimation for ergodic diffusion processes
• A new estimating function for discretely sampled diffusions
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths
• Simulation of conditioned diffusion and application to parameter estimation
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

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