On the multi-step MLE-process for ergodic diffusion
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Publication:2359720
Abstract: We propose a new method of the construction of the asymptotically efficient estimator-processes asymptotically equivalent to the MLE and the same time much more easy to calculate. We suppose that the observed process is ergodic diffusion and that there is a learning time interval of the length negligeable with respect to the whole time of observations. The preliminary estimator obtained after the learning time is then used in the construction of one-step and two-step MLE processes. We discuss the possibility of the applications of the proposed estimation procedure to several other observations models.
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Cited in
(15)- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Volatility estimation of hidden Markov processes and adaptive filtration
- Method of moments estimators and multi-step MLE for Poisson processes
- Hybrid estimators for stochastic differential equations from reduced data
- Hybrid estimators for small diffusion processes based on reduced data
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- Quasi-likelihood analysis and its applications
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
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- On multi-step MLE-process for Markov sequences
- Poisson source localization on the plane: the smooth case
- On M-processes and M-estimation
- On multi-step estimation of delay for SDE
- Improved estimators of Bregman divergence for model selection in small samples
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