Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter

MaRDI QIDQ2844178zbMATH OpenFDO

Authors Masayuki Uchida

Publication date 28 August 2013

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

zbMATH Keywords

stochastic differential equationparametric inferencediscrete time sampling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(8)

• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Robust estimation of dispersion parameter in discretely observed diffusion processes
• scientific article; zbMATH DE number 1775120 (Why is no real title available?)
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• Minimum Contrast Estimation for Fractional Diffusions
• Maximnm contrast estimation for diffusion processes from discrete observations
• Estimation for stochastic differential equations with a small diffusion coefficient

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