Martingale estimation functions for discretely observed diffusion processes
From MaRDI portal
Publication:1903603
DOI10.2307/3318679zbMath0830.62075OpenAlexW2065017532MaRDI 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
simulationconsistencyasymptotic normalityoptimalitydiffusion processOrnstein-Uhlenbeck processdiscrete-time observationsquasi-likelihoodergodicmartingale estimating functionsmean-reverting processdiscretized continuous- time score function
Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
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