A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times

DOI10.1016/S0167-7152(97)00058-8zbMath0892.62065MaRDI QIDQ1382237

Isao Shoji

Publication date: 15 July 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatorleast squares estimatorEuler discretizationEuler estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (5)

Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ A new estimating function for discretely sampled diffusions ⋮ Adaptive control of diffusion processes with a discounted reward criterion ⋮ Berry–Esseen inequalities for discretely observed diffusions

Cites Work

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• Estimation for diffusion processes from discrete observation
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Approximate discrete-time schemes for statistics of diffusion processes

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