The consistency of a nonlinear least squares estimator from diffusion processes
From MaRDI portal
Publication:1113595
DOI10.1016/0304-4149(88)90088-9zbMath0662.62092OpenAlexW2084190283WikidataQ127364115 ScholiaQ127364115MaRDI QIDQ1113595
Publication date: 1988
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(88)90088-9
diffusion processesstationary processleast squares estimatordiscrete datastrong consistencyItô stochastic differential equationcontinuous datastandard Wiener process
Related Items (28)
Least squares estimation for distribution-dependent stochastic differential delay equations ⋮ APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS ⋮ On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Drift estimation of a certain class of diffusion processes from discrete observation ⋮ Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions ⋮ Least squares estimators for discretely observed stochastic processes driven by small Lévy noises ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Parameters estimation for RL electrical circuits based on least square and Bayesian approach ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise ⋮ A parameter estimator based on Smoluchowski-Kramers approximation ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Least squares estimation for path-distribution dependent stochastic differential equations ⋮ A new estimating function for discretely sampled diffusions ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions ⋮ Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process ⋮ Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Notes on drift estimation for certain non-recurrent diffusion processes from sampled data ⋮ Berry–Esseen inequalities for discretely observed diffusions ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
Cites Work
This page was built for publication: The consistency of a nonlinear least squares estimator from diffusion processes
