Hybrid multi-step estimators for stochastic differential equations based on sampled data

DOI10.1007/s11203-014-9107-4zbMath1329.62110OpenAlexW1983809928MaRDI QIDQ2350913

Kengo Kamatani, Masayuki Uchida

Publication date: 25 June 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-014-9107-4

zbMATH Keywords

diffusion processadaptive estimationdiscrete time observationsconvergence of momentsBayes type estimatormaximum likelihood type estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Uses Software

• R
• YUIMA

Cites Work

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