Martingale estimating functions based on eigenfunctions for discretely observed small diffusions

MaRDI QIDQ2844166zbMATH OpenFDO

Authors Masayuki Uchida

Publication date 28 August 2013

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

zbMATH Keywords

parametric inferencediscrete time observationdiffusion process with small noise

Mathematics Subject Classification ID

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

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Cited in

(8)

• Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• scientific article; zbMATH DE number 1775120 (Why is no real title available?)
• Optimality and small \(\Delta\)-optimality of martingale estimating functions
• Approximate martingale estimating functions for stochastic differential equations with small noises
• 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

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