Estimation of the coefficients of a diffusion from discrete observations
From MaRDI portal
Recommendations
- Estimation of diffusion parameters for discretely observed diffusion processes
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Estimation of diffusion parameters in diffusion processes and their asymptotic normality
- On effects of discretization on estimators of drift parameters for diffusion processes
- scientific article; zbMATH DE number 4104216
Cites work
- DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
- Estimation and control in Markov chains
- scientific article; zbMATH DE number 3850256 (Why is no real title available?)
- scientific article; zbMATH DE number 3951684 (Why is no real title available?)
- scientific article; zbMATH DE number 3447884 (Why is no real title available?)
Cited in
(only showing first 100 items - show all)- Parametric estimation for partially hidden diffusion processes sampled at discrete times
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- A Kolmogorov-Fokker-Planck approach for a stochastic Duffing-van der Pol system
- Statistics on crossings of discretized diffusions and local time
- Estimation for diffusion processes from discrete observation
- Random sampling in estimation problems for continuous Gaussian processes with independent increments
- Langevin diffusions on the torus: estimation and applications
- Optimal estimation for continuous state branching processes with discrete sampling.
- Financial options and statistical prediction intervals
- Parameter estimation in nonlinear stochastic differential equations
- Approximation of the occupation measure of Lévy processes
- Yule-Walker estimation of a CAR(p) observed at discrete times
- Conservative delta hedging.
- To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
- Drift estimation of a certain class of diffusion processes from discrete observation
- Consistency and asymptotic normality of maximum likelihood estimation for Gaussian Markov processes from discrete observations
- Minimum density power divergence estimator for diffusion processes
- Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
- Estimation of parameters of linear homogeneous stochastic differential equations
- Robust test for dispersion parameter change in discretely observed diffusion processes
- Efficient estimation and filtering for multivariate jump-diffusions
- Detecting the sampling rate through observations
- Statistical estimation in a randomly structured branching population
- Simulated likelihood estimators for discretely observed jump-diffusions
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- A selective overview of nonparametric methods in financial econometrics
- Closed-form likelihood expansions for multivariate diffusions
- Statistical convergence of Markov experiments to diffusion limits
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Smoothing and occupation measures of stochastic processes
- The delta expansion for the transition density of diffusion models
- Simulation of jump diffusions and the pricing of options
- On diffusion approximation with discountinuous coefficients.
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
- Statistical aspects of the fractional stochastic calculus
- The computational cost of blocking for sampling discretely observed diffusions
- Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process
- Proportional stochastic generalized Lotka-Volterra model with an application to learning microbial community structures
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
- Bayesian multivariate normal analysis under the extended reflected normal loss function
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Estimation of a diffusion matrix by condensing random sampling
- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
- Some remarks on estimation of diffusion coefficients for jump-diffusions from finite samples
- Bayesian consistency for stationary models
- Nonparametric estimation of second-order stochastic differential equations
- Quantifying Model Uncertainties in Complex Systems
- Model selection for volatility prediction
- Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term
- Modelling animal growth in random environments: An application using nonparametric estima\-tion
- Can One Validly Use Classical Statistical Inference in Open Quantum Systems?
- Stochastic differential mixed-effect models
- On effects of discretization on estimators of drift parameters for diffusion processes
- scientific article; zbMATH DE number 3883454 (Why is no real title available?)
- Simultaneous determination of two coefficients in Itô diffusion processes: theoretical and numerical approaches
- scientific article; zbMATH DE number 3864330 (Why is no real title available?)
- Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- Approximate discrete-time schemes for statistics of diffusion processes
- Closed-form likelihoods for stochastic differential equation growth models
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
- Estimation of diffusion parameters in diffusion processes and their asymptotic normality
- Particle Filters for Partially Observed Diffusions
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- scientific article; zbMATH DE number 3928013 (Why is no real title available?)
- scientific article; zbMATH DE number 4104216 (Why is no real title available?)
- Geometric ergodicity for classes of homogeneous Markov chains
- Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
- scientific article; zbMATH DE number 679926 (Why is no real title available?)
- Estimation of Diffusion Processes by Simulated Moment Methods
- Laplace asymptotics for generalized K.P.P. equation
- Diffusions with measurement errors. II. Optimal estimators
- A new technique for simulating the likelihood of stochastic differential equations
- Introduction to stochastic models in biology
- Parameter estimation for a class of diffusion process from discrete observation
- Learning interacting particle systems: diffusion parameter estimation for aggregation equations
- A two-step estimation of diffusion processes using noisy observations
- NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
- Parameter Estimation in a Gompertzian Stochastic Model for Tumor Growth
- Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation
- APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS
- Estimation for discretely observed diffusions using transform functions
- scientific article; zbMATH DE number 810984 (Why is no real title available?)
- scientific article; zbMATH DE number 849067 (Why is no real title available?)
- Approximate maximum likelihood estimation for diffusion processes from discrete observations
- Sequential Monte Carlo methods for diffusion processes
- Predicting integrals of diffusion processes with unknown diffusion parameters
- Monte Carlo fusion
- Filtering for a Duffing-van der Pol stochastic differential equation
- Moment method estimation of first-order continuous-time bilinear processes
- Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
- Parametric inference for mixed models defined by stochastic differential equations
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
- Method for simulating non-linear stochastic differential equations in ℝ1
- Maximnm contrast estimation for diffusion processes from discrete observations
- Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
- Flexible Bayesian inference for diffusion processesusing splines
This page was built for publication: Estimation of the coefficients of a diffusion from discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3030066)
