Parametric estimation for partially hidden diffusion processes sampled at discrete times
From MaRDI portal
Publication:1016630
DOI10.1016/j.spa.2008.08.004zbMath1161.62049arXivmath/0611781OpenAlexW3123246144MaRDI QIDQ1016630
Masayuki Uchida, Nakahiro Yoshida, Stefano Maria Iacus
Publication date: 6 May 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0611781
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items (2)
Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic behavior of M-estimator and related random field for diffusion process
- Estimation for diffusion processes from discrete observation
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Estimating unobservable signal by Markovian noise induction: when noise helps in statistics!
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks
- Asymptotic theory for non-linear least squares estimator for diffusion processes
- Approximate discrete-time schemes for statistics of diffusion processes
- Particle Filters for Partially Observed Diffusions
- Estimation of an Ergodic Diffusion from Discrete Observations
- Statistical analysis of stochastic resonance with ergodic diffusion noise
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
This page was built for publication: Parametric estimation for partially hidden diffusion processes sampled at discrete times
