Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
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Cites work
- Consistent and asymptotically normal parameter estimates for hidden Markov models
- Estimation of an Ergodic Diffusion from Discrete Observations
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- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- Martingale estimation functions for discretely observed diffusion processes
- Time series: theory and methods.
Cited in
(28)- Change of spatiotemporal scale in dynamic models
- Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
- Adaptive estimation for degenerate diffusion processes
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- Diffusion process with evolution and its parameter estimation
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Approximation of epidemic models by diffusion processes and their statistical inference
- Ergodicity and invariant measures for a diffusing passive scalar advected by a random channel shear flow and the connection between the Kraichnan-Majda model and Taylor-Aris dispersion
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Nonparametric estimation of second-order stochastic differential equations
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
- Bias correction estimation for a continuous-time asset return model with jumps
- scientific article; zbMATH DE number 7228912 (Why is no real title available?)
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- scientific article; zbMATH DE number 3928013 (Why is no real title available?)
- Asymptotics for theLp-deviation of the variance estimator under diffusion
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- Strong consistency of nonparametric kernel estimators for integrated diffusion process
- Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach
- Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
- Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
- LAMN property for hidden processes: the case of integrated diffusions
- Modeling financial time series through second-order stochastic differential equations
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