On effects of discretization on estimators of drift parameters for diffusion processes

DOI10.2307/3214986zbMATH Open0873.65134OpenAlexW2083565518MaRDI QIDQ3122870FDOQ3122870

Authors: Eckhard Platen, Henri Schurz, Michael Sørensen, Peter E. Kloeden 

Publication date: 4 May 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214986

Recommendations

• Estimation of diffusion parameters for discretely observed diffusion processes
• Estimation of the coefficients of a diffusion from discrete observations
• scientific article; zbMATH DE number 849067
• A new estimating function for discretely sampled diffusions

zbMATH Keywords

maximum likelihood estimationnumerical examplesstochastic differential equationsinference for stochastic processesstochastic Taylor expansionsdiscrete time sampling

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (29)

• On the applicability of stochastic volatility models
• A revisit of stochastic theta method with some improvements
• Estimation for discretely observed diffusions using transform functions
• Sizes of two bootstrap-based nonparametric specification tests for the drift function in continuous time models
• The distribution of the argmax of two-sided brownian motion with quadratic drift
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
• Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
• A new stochastic Gompertz diffusion process with threshold parameter: computational aspects and applications
• Title not available (Why is that?)
• To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
• Estimation of the coefficients of a diffusion from discrete observations
• Method for simulating non-linear stochastic differential equations in ℝ¹
• The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases
• A new technique for simulating the likelihood of stochastic differential equations
• Consistent estimation in regression models for the drift function in some continuous time models
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Title not available (Why is that?)
• A nonparametric method of estimating nonlinear dynamical system models
• Estimation of diffusion parameters for discretely observed diffusion processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• A selective overview of nonparametric methods in financial econometrics
• Remarks on drift estimation for diffusion processes
• Title not available (Why is that?)
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• Stochastic square of the Brennan-Schwartz diffusion process: statistical computation and application
• INFERENCE IN GOMPERTZ-TYPE NONHOMOGENEOUS STOCHASTIC SYSTEMS BY MEANS OF DISCRETE SAMPLING
• A new estimating function for discretely sampled diffusions

This page was built for publication: On effects of discretization on estimators of drift parameters for diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3122870)