Estimation of the killing rate parameter in a diffusion model

MaRDI QIDQ2915731zbMATH OpenFDO

Authors Roža Horvat-Bokor, Miljenko Huzak, Nedžad Limić

Publication date 18 September 2012

Published in Mathematical Communications (Search for Journal in Brave)

Full work available at URL http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=123521&lang=en

zbMATH Keywords

censored datadiffusion with killingminimum \(\chi^2\)-estimationrandom search

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Estimation in survival analysis and censored data (62N02) Numerical solutions to stochastic differential and integral equations (65C30)

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(1)

• Estimation in discretely observed diffusions killed at a threshold

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