Non-parametric estimation for partially observed transient diffusion processes

DOI10.1080/17442508608833407MaRDI QIDQ3799498zbMATH OpenOpenAlexFDO

Authors V. Genon-Catalot, Catherine Larédo

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833407

zbMATH Keywords

asymptotic propertiesGirsanov formulahitting timespoint processesprocesses with independent incrementstransient diffusionunknown drift function

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• scientific article; zbMATH DE number 3982342
• scientific article; zbMATH DE number 4011709
• Adaptive drift estimation for nonparametric diffusion model.
• Statistiques de diffusions et temps local. (Statistics of diffusions and local times)
• Parametric inference for discretely observed non-ergodic diffusions

Cites work

• Asymptotic likelihood theory for diffusion processes
• Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants
• scientific article; zbMATH DE number 4070099 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Maximum likelihood estimation for continuous-time stochastic processes
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
• Radon-Nikodym derivatives with respect to measures induced by discontinuous independent-increment processes

Cited in

(10)

• An asymptotic sufficiency property of observations related to the first hitting times of a diffusion
• Interpolation for partly hidden diffusion processes
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• scientific article; zbMATH DE number 3982342 (Why is no real title available?)
• scientific article; zbMATH DE number 4011709 (Why is no real title available?)
• Estimation non paramétrique pour des processus dynamiques dilatants
• Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
• Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
• Parametric estimation for non recurrent diffusion processes
• Parametric estimation from approximate data: non-Gaussian diffusions

This page was built for publication: Non-parametric estimation for partially observed transient diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3799498)