Martingale estimating functions based on eigenfunctions for discretely observed small diffusions

zbMATH Open1270.62117MaRDI QIDQ2844166FDOQ2844166

Authors: Masayuki Uchida 

Publication date: 28 August 2013

Published in: Bulletin of Informatics and Cybernetics (Search for Journal in Brave)

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zbMATH Keywords

parametric inferencediscrete time observationdiffusion process with small noise

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cited In (8)

• Hybrid estimators for small diffusion processes based on reduced data
• Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
• On penalized estimation for dynamical systems with small noise
• Optimality and small \(\Delta\)-optimality of martingale estimating functions
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Title not available (Why is that?)
• Approximate martingale estimating functions for stochastic differential equations with small noises
• Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter

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