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

zbMATH Open1271.62195MaRDI QIDQ2844178FDOQ2844178

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

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)

Cited In (8)

• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Minimum Contrast Estimation for Fractional Diffusions
• Maximnm contrast estimation for diffusion processes from discrete observations
• Robust estimation of dispersion parameter in discretely observed diffusion processes
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• Title not available (Why is that?)
• Estimation for stochastic differential equations with a small diffusion coefficient

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