Martingale estimation functions for discretely observed diffusion processes
From MaRDI portal
Publication:1903603
DOI10.2307/3318679zbMath0830.62075MaRDI QIDQ1903603
Michael Sørensen, Bo Martin Bibby
Publication date: 12 December 1995
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1186078360
simulation; consistency; asymptotic normality; optimality; diffusion process; Ornstein-Uhlenbeck process; discrete-time observations; quasi-likelihood; ergodic; martingale estimating functions; mean-reverting process; discretized continuous- time score function
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G44: Martingales with continuous parameter
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