Estimation of the drift for diffusion process

DOI10.1080/02331888508801854MaRDI QIDQ3692662zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 1985

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888508801854

zbMATH Keywords

diffusion processdrift coefficientopen problemssurvey of recent results

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic inference for stochastic processes
• Estimation for Distributions with Monotone Failure Rate
• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• scientific article; zbMATH DE number 3778463 (Why is no real title available?)
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• scientific article; zbMATH DE number 3388297 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Maximum probability estimators and related topics
• Nonparametric Identification for Diffusion Processes
• On the rate of convergence of estimators for Markov processes
• The Berry-Esseen bound for minimum contrast estimates
• The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes
• The oscillation of stochastic integrals

Cited in

(9)

• A note on estimating drift and diffusion parameters from time series
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Drift estimation on non compact support for diffusion models
• A selective overview of nonparametric methods in financial econometrics
• Local linear estimation for stochastic processes driven by -stable Lévy motion
• scientific article; zbMATH DE number 4106076 (Why is no real title available?)
• Estimation du paramètre de dérive d'une diffusion sous des conditions d'irrégularité de la dérive
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application

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