Parametric inference for diffusions observed at stopping times
DOI10.1214/20-EJS1708zbMath1441.62235OpenAlexW4289494602MaRDI QIDQ2188470
Uladzislau Stazhynski, Emmanuel Gobet
Publication date: 11 June 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1589335308
asymptotic variancelocal asymptotic mixed normalityoptimal lower boundconsistent sequence of estimatorsdiffusion coefficient estimationobservation at stopping times
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
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