Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter

DOI10.1111/1467-9469.00226zbMath0973.60071MaRDI QIDQ2722305

Michael Sørensen, Bo Martin Bibby

Publication date: 11 July 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00226

zbMATH Keywords

consistency; asymptotic normality; stochastic differential equations; Ornstein-Uhlenbeck process; Cox-Ingersoll-Ross model; stock prices; wind velocity; pseudo likelihood; hyperbolic diffusions; discretely observed diffusions

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B24: Microeconomic theory (price theory and economic markets)

60J60: Diffusion processes

Related Items

Estimating Functions in Indirect Inference, Inference for Observations of Integrated Diffusion Processes, Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview, Efficient estimators for functionals of Markov chains with parametric marginals., Diffusion-type models with given marginal distribution and autocorrelation function, Parameter Estimation for a Discretely Observed Integrated Diffusion Process