Estimation of parameters of linear stochastic difference equations.

zbMATH Open1103.62363MaRDI QIDQ1856497FDOQ1856497

Authors: Andrius Jankunas, R. Z. Khas'minskiĭ 

Publication date: 10 February 2003

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

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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)

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
• Title not available (Why is that?)

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