On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
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Publication:1209200
zbMath0770.62070MaRDI QIDQ1209200
Valentine Genon-Catalot, Jean Jacod
Publication date: 16 May 1993
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_1993__29_1_119_0
diffusion coefficient; local asymptotic mixed normality; drift; LAMN property; multidimensional diffusion processes; conditional centered Gaussian variable; non-anticipative functional
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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