Maximum likelihood estimation for continuous-time stochastic processes

DOI10.2307/1425931MaRDI QIDQ4127234zbMATH OpenOpenAlexFDO

Authors Paul D. Feigin

Publication date 1976

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1425931

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

Cited in

(63)

• Norming rates and limit theory for some time-varying coefficient autoregressions
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Uniform law of large numbers and consistency of estimators for Harris diffusions
• ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE‐TIME SQUARE‐ROOT PROCESS
• Estimation of parameters of linear homogeneous stochastic differential equations
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
• Extinction times for a birth--death process with two phases
• Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
• Learning chemical reaction networks from trajectory data
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• Asymptotic distribution of MLE’s of the parameters for a diffusion model with catastrophes and some related inference problems
• Bounds for the Equivalence of Bayes and Maximum Likelihood Estimators for a Class of Diffusion Processes
• Parametric Estimation and the CIR Model
• Estimation for queues from queue length data
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• How to test that a given process is an Ornstein-Uhlenbeck process
• Asymptotic inference for stochastic processes
• Asymptotic inference for semimartingale models with singular parameter points
• A utility based approach to information for stochastic differential equations
• The parameters of the stochastic leaky integrate-and-fire neuronal model
• Locally most powerful sequential tests for stochastic processes
• Non-parametric estimation for partially observed transient diffusion processes
• On parameter estimation in population models
• Statistical models: conventional, penalized and hierarchical likelihood
• Stable convergence in law in approximation of stochastic integrals with respect to diffusions
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Fisher information matrix for two-way random effects model with heteroscedasticity
• On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• Exponential families of stochastic processes and Lévy processes
• Asymptotically optimal parameter estimation under communication constraints
• Inference for the diffusion models of neuronal activity
• Information quantities in non-classical settings
• Local asymptotic mixed normality for semimartingale experiments
• Maximum likelihood estimation in birth-death process allowing catastrophes
• Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Maximum likelihood estimation of hidden Markov processes
• Filtered likelihood for point processes
• Some results on first order stochastic models and estimation for diffusion approximation of the multitype galton–watson process
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
• Maximum likelihood estimation for the drift parameter in diffusion processes
• Optimal estimation for semimartingale neuronal models
• Parameter estimation for generalized Ait-Sahalia-type interest rate model
• Asymptotic likelihood estimation from birth and death on a flow
• The efficiency criteria problem for stochastic processes
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Inférence statistique dans les processus stochastiques: Aperçu historique
• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• Parameter estimation for generalized diffusion processes with reflected boundary
• Second-order continuous-time non-stationary Gaussian autoregression
• Drift estimation of a certain class of diffusion processes from discrete observation
• Recursive identification in continuous-time stochastic processes
• Asymptotic theory for rough fractional Vasicek models
• Asymptotic theory for empirical similarity models

This page was built for publication: Maximum likelihood estimation for continuous-time stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4127234)