Saddlepoint approximations for continuous-time Markov processes
From MaRDI portal
Publication:278194
DOI10.1016/j.jeconom.2005.07.004zbMath1418.62286MaRDI QIDQ278194
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.004
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
62E17: Approximations to statistical distributions (nonasymptotic)
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