Martingale estimation functions for discretely observed diffusion processes
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- scientific article; zbMATH DE number 1215449
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- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
Cited in
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- Financial options and statistical prediction intervals
- Parameter estimation in nonlinear stochastic differential equations
- The asymptotic properties of estimates of the parameters of nonlinear time series
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- Hybrid estimators for stochastic differential equations from reduced data
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
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- Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
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- Sequential maximum likelihood estimation for the hyperbolic diffusion process
- Statistical aspects of the fractional stochastic calculus
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- Estimating functions for noisy observations of ergodic diffusions
- Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
- Discretely observed diffusions: Classes of estimating functions and small -optimality
- Bayesian multivariate normal analysis under the extended reflected normal loss function
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
- Maximum likelihood estimation for the drift parameter in diffusion processes
- Martingale estimating functions based on eigenfunctions for discretely observed small diffusions
- Temperature models for pricing weather derivatives
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- Estimation of partial differential equations with applications in finance
- Model selection for volatility prediction
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- A transformation approach to modelling multi-modal diffusions
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- scientific article; zbMATH DE number 1215449 (Why is no real title available?)
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- scientific article; zbMATH DE number 1165661 (Why is no real title available?)
- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
- Local M-estimation for jump-diffusion processes
- On the approximate maximum likelihood estimation for diffusion processes
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- Introduction to stochastic models in biology
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