Estimation for diffusion processes from discrete observation

DOI10.1016/0047-259X(92)90068-QzbMath0811.62083MaRDI QIDQ1192000

Nakahiro Yoshida

Publication date: 27 September 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalityWiener processasymptotic efficiencyBurkholder-Davis-Gundy inequalityapproximate MLENovikov moment inequalityvector-valued stochastic differential equation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sequential estimation (62L12)

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