THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
From MaRDI portal
Publication:3266102
DOI10.1093/biomet/46.1-2.67zbMath0091.15004OpenAlexW2030874952MaRDI QIDQ3266102
Publication date: 1959
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/46.1-2.67
Related Items (22)
Comment: A selective overview of nonparametric methods in financial econometrics ⋮ ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ Limiting sampling results for continuous-time ARMA systems ⋮ Consistent estimation of equations with composite moving average disturbance terms ⋮ Large sample estimation and testing procedures for dynamic equation systems ⋮ A note on deriving the discrete spectra of some continuous-time processes ⋮ Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms ⋮ Spatial long memory ⋮ Parameter estimation for continuous-time models - a survey ⋮ Optimal dynamic spatial sampling ⋮ Local lagged adapted generalized method of moments and applications ⋮ Bootstrapping continuous-time autoregressive processes ⋮ Recent results in the theory and applications of CARMA processes ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Local lagged adapted generalized method of moments: an innovative estimation and forecasting approach and its applications ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes ⋮ Estimating integrated higher-order continuous time autoregressions with an application to money-income causality ⋮ The construction and estimation of continuous time models and discrete approximations in econometrics ⋮ Refined instrumental variable methods of recursive time-series analysis Part III. Extensions ⋮ The problem of identification in finite parameter continuous time models ⋮ High-frequency sampling and kernel estimation for continuous-time moving average processes
This page was built for publication: THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
