Parameter estimation by deterministic approximation of a solution of a stochastic differential equation

DOI10.1080/15326349908807135MaRDI QIDQ3477843zbMATH OpenOpenAlexWikidataFDO

Authors R. A. Kasonga

Publication date 1990

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349908807135

zbMATH Keywords

deterministic approximation of solutions of stochastic differentialequationsgrowth conditionsleast squares type estimatorLipschitz conditionsOrnstein-Uhlenbeck processsimulated observationsstrong consistencyWiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• The consistency of a nonlinear least squares estimator from diffusion processes
• scientific article; zbMATH DE number 3940335
• Estimation for diffusion processes from discrete observation
• scientific article; zbMATH DE number 2143987
• On estimating the diffusion coefficient

Cited in

(8)

• The consistency of a nonlinear least squares estimator from diffusion processes
• Estimation of parameters of one stochastic differential equation
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations
• Consistency of least squares estimation to the parameter for stochastic differential equations under distribution uncertainty
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Estimating the parameters of stochastic differential equations using a criterion function

This page was built for publication: Parameter estimation by deterministic approximation of a solution of a stochastic differential equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3477843)