Parameter estimation by contrast minimization for noisy observations of a diffusion process
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Cites work
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- A Tale of Two Time Scales
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- Diffusions with measurement errors. II. Optimal estimators
- Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
- Estimation for diffusion processes from discrete observation
- Estimation of an Ergodic Diffusion from Discrete Observations
- Martingale estimation functions for discretely observed diffusion processes
- Maximnm contrast estimation for diffusion processes from discrete observations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Microstructure noise in the continuous case: the pre-averaging approach
- Non-parametric drift estimation for diffusions from noisy data
- Parameter Estimation for a Discretely Observed Integrated Diffusion Process
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
Cited in
(26)- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- scientific article; zbMATH DE number 810984 (Why is no real title available?)
- Estimating functions for noisy observations of ergodic diffusions
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Adaptive test for ergodic diffusions plus noise
- Minimum Contrast Estimation for Fractional Diffusions
- Maximnm contrast estimation for diffusion processes from discrete observations
- Parameter identification for a stochastic logistic growth model with extinction
- scientific article; zbMATH DE number 4070099 (Why is no real title available?)
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- scientific article; zbMATH DE number 4176275 (Why is no real title available?)
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Estimation for misspecified ergodic diffusion processes from discrete observations
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- A two-step estimation of diffusion processes using noisy observations
- Contrast estimation of the Vasicek integrated diffusion process for high-frequency data
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- Jump-robust volatility estimation using dynamic dual-domain integration method
- On minimum-contrast estimation for hilbert space-valued stochastic differential equations
- Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- Estimation for stochastic differential equations with a small diffusion coefficient
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Minimum contrast estimation for discretely observed diffusion processes with small dispersion parameter
- Contrast function estimation for the drift parameter of ergodic jump diffusion process
- Evaluation of unknown parameter in systems with weak signal at internal and external diffusion slashing
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