Maximnm contrast estimation for diffusion processes from discrete observations
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Cites work
- Approximate discrete-time schemes for statistics of diffusion processes
- Estimation of the coefficients of a diffusion from discrete observations
- scientific article; zbMATH DE number 3850256 (Why is no real title available?)
- scientific article; zbMATH DE number 3733065 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
Cited in
(54)- Estimation for stochastic differential equations with a small diffusion coefficient
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Statistical inference for stochastic differential equations with small noises
- On penalized estimation for dynamical systems with small noise
- Hybrid estimators for small diffusion processes based on reduced data
- Asymptotic equivalence of estimating a Poisson intensity and a positive diffusion drift
- Asymptotic nonequivalence of GARCH models and diffusions
- 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
- Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
- Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations
- Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
- Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
- Approximation of epidemic models by diffusion processes and their statistical inference
- Estimating functions for noisy observations of ergodic diffusions
- Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Non parametric estimation of the diffusion coefficient of a diffusion process
- Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Minimum Contrast Estimation for Fractional Diffusions
- APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- Diffusion parameter estimation for the homogenized equation
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- A new estimating function for discretely sampled diffusions
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- Parameter estimation of discretely observed interacting particle systems
- Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
- Adaptive inference for small diffusion processes based on sampled data
- Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
- Berry-Esseen bound and Cramér-type moderate deviation of the MLE for Ornstein-Uhlenbeck process with discrete observations
- Parameters estimation of a threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
- Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Hölder classes
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
- Realised volatility and parametric estimation of Heston SDEs
- Adaptive estimator for a parabolic linear SPDE with a small noise
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Approximate martingale estimating functions for stochastic differential equations with small noises
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