Estimation of parameters of linear stochastic difference equations.

MaRDI QIDQ1856497zbMATH OpenFDO

Authors Andrius Jankunas, R. Z. Khas'minskiĭ

Publication date 10 February 2003

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatorlocal asymptotic normalityasymptotically efficient estimatorlinear stochastic difference equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Additive difference equations (39A10)

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Cited in

(10)

• Parameter estimation in a system of stochastic difference equations
• Estimation of parameters of linear homogeneous stochastic differential equations
• Optimal contingent claims.
• Sequential Estimation of the Parameter of a Stochastic Difference Equation with Random Coefficients
• On the Statistical Treatment of Linear Stochastic Difference Equations
• The Stochastic Difference Between Econometric Statistics
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
• Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
• scientific article; zbMATH DE number 3980310 (Why is no real title available?)

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