Parameter estimation for the drift of a time inhomogeneous jump diffusion process

DOI10.1111/J.1467-9574.2012.00537.XMaRDI QIDQ6552749zbMATH OpenFDO

Authors Brice Franke, Thomas Kott

Publication date 10 June 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-9574.2012.00537.X

zbMATH Keywords

least squares estimationmaximum likelihoodtime-continuous sampletime-inhomogeneous diffusion process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(1)

• Estimation of a pure-jump stable Cox-Ingersoll-Ross process

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