Statistical Methods for Stochastic Differential Equations

DOI10.1201/B12126zbMATH Open1246.60005OpenAlexW1508776097MaRDI QIDQ3075656FDOQ3075656

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Publication date: 16 February 2011

Full work available at URL: https://doi.org/10.1201/b12126

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Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx) Markov processes (60Jxx)

Cited In (19)

• Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
• Bidimensional random effect estimation in mixed stochastic differential model
• Prediction-based estimating functions: review and new developments
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
• Nonparametric Bayesian methods for one-dimensional diffusion models
• A higher-order correct fast moving-average bootstrap for dependent data
• Statistical inference for stochastic differential equations
• Asymptotic near-efficiency of the ``Gibbs-energy and empirical-variance estimating functions for fitting Matérn models. I: Densely sampled processes
• Title not available (Why is that?)
• Parametric inference for discretely observed subordinate diffusions
• Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
• Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
• Transient dynamics of Pearson diffusions facilitates estimation of rate parameters
• Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
• Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions
• Online Smoothing for Diffusion Processes Observed with Noise
• Inference for partially observed epidemic dynamics guided by Kalman filtering techniques
• Bridging socioeconomic pathways of \(\mathrm{CO}_2\) emission and credit risk

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