Estimation for diffusion processes from discrete observation
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Publication:1192000
DOI10.1016/0047-259X(92)90068-QzbMATH Open0811.62083MaRDI QIDQ1192000FDOQ1192000
Publication date: 27 September 1992
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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asymptotic normalityconsistencyasymptotic efficiencyWiener processBurkholder-Davis-Gundy inequalityapproximate MLENovikov moment inequalityvector-valued stochastic differential equation
Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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Cited In (only showing first 100 items - show all)
- On a family of test statistics for discretely observed diffusion processes
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Prediction-based estimation for diffusion models with high-frequency data
- Parametric estimation for a parabolic linear SPDE model based on discrete observations
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Estimating functions for noisy observations of ergodic diffusions
- Parameter Estimation in a Gompertzian Stochastic Model for Tumor Growth
- Approximation of continuous time stochastic processes by a local linearization method
- Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Efficient estimation of drift parameters in stochastic volatility models
- Maximnm contrast estimation for diffusion processes from discrete observations
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Consistent estimation of covariation under nonsynchronicity
- Hybrid estimators for stochastic differential equations from reduced data
- Asymptotic nonequivalence of GARCH models and diffusions
- Parameter estimation for diffusion process from perturbed discrete observations
- Hybrid estimators for small diffusion processes based on reduced data
- Quantifying Model Uncertainties in Complex Systems
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Test for parameter change in discretely observed diffusion processes
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- The Bickel--Rosenblatt test for diffusion processes
- A Semiparametric Model of Estimating Volatility of Diffusion Processes
- An equation error method to recover diffusion from the distributed observation
- Parametric inference for discretely observed non-ergodic diffusions
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Quasi-likelihood analysis and its applications
- Nonsynchronous covariation process and limit theorems
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
- Adaptive estimation for degenerate diffusion processes
- Parameter estimation in stochastic differential equations.
- Adaptive inference for small diffusion processes based on sampled data
- Estimating the nitrous oxide emission rate from the soil surface by means of a diffusion model
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
- Robust analysis of default intensity
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Nonparametric adaptive estimation for integrated diffusions
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- The consistency of a nonlinear least squares estimator from diffusion processes
- Adaptive LASSO-type estimation for multivariate diffusion processes
- Title not available (Why is that?)
- Closed-form likelihoods for stochastic differential equation growth models
- Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
- Divergences test statistics for discretely observed diffusion processes
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- Parameter estimation of discretely observed interacting particle systems
- Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
- Nonparametric estimation of scalar diffusions based on low frequency data
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Approximate discrete-time schemes for statistics of diffusion processes
- Non-reversible guided Metropolis kernel
- Approximate martingale estimating functions for stochastic differential equations with small noises
- A selective overview of nonparametric methods in financial econometrics
- Estimation for stochastic differential equations with a small diffusion coefficient
- Parameter estimation by deterministic approximation of a solution of a stochastic differential equation
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Estimation of parameters in linear diffusion models
- A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Small-diffusion asymptotics for discretely sampled stochastic differential equations
- Parameter estimation in a verhulst stochastic model
- Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
- Contrast-based information criterion for ergodic diffusion processes from discrete observations
- Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
- An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
- Estimation of stochastic volatility models by nonparametric filtering
- A new estimating function for discretely sampled diffusions
- Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
- Stochastic Pareto diffusion process: statistical analysis and computational issues. Simulation and application
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Online drift estimation for jump-diffusion processes
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- On the multi-step MLE-process for ergodic diffusion
- Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
- Adaptive testing method for ergodic diffusion processes based on high frequency data
- Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
- On Gaussian HJM framework for Eurodollar futures
- Adaptive test for ergodic diffusions plus noise
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Parameter estimation for ergodic linear SDEs from partial and discrete observations
- APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS
- Reconstructing unknown coefficients of stochastic differential equations and intelligently predicting random processes with directed learning
- Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model
- Sparse inference of structural equation modeling with latent variables for diffusion processes
- A first order continuous time <scp>VAR</scp> with random coefficients
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