Asymptotic theory for non-linear least squares estimator for diffusion processes
From MaRDI portal
Publication:3314782
DOI10.1080/02331888308801695zbMath0532.62060OpenAlexW2069883445MaRDI QIDQ3314782
Publication date: 1983
Published in: Series Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888308801695
asymptotic normalityasymptotic efficiencydiffusion processesIto stochastic differential equationnonlinear least squares estimatornonlinear drift coefficients
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)
Related Items (41)
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Quasi-likelihood analysis and its applications ⋮ On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Hybrid estimators for stochastic differential equations from reduced data ⋮ A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times ⋮ Least squares estimator for a class of subdiffusion processes ⋮ Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions ⋮ Least squares estimators for discretely observed stochastic processes driven by small Lévy noises ⋮ Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations ⋮ Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ Non-reversible guided Metropolis kernel ⋮ Adaptive inference for small diffusion processes based on sampled data ⋮ Contrast-based information criterion for ergodic diffusion processes from discrete observations ⋮ Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process ⋮ Adaptive estimation of an ergodic diffusion process based on sampled data ⋮ Parameters estimation for RL electrical circuits based on least square and Bayesian approach ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ Quasi likelihood analysis of volatility and nondegeneracy of statistical random field ⋮ Adaptive test statistics for ergodic diffusion processes sampled at discrete times ⋮ Estimation for diffusion processes from discrete observation ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions ⋮ Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process ⋮ Nonsynchronous covariation process and limit theorems ⋮ Second-order asymptotic expansion for a non-synchronous covariation estimator ⋮ Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Notes on drift estimation for certain non-recurrent diffusion processes from sampled data ⋮ Global jump filters and quasi-likelihood analysis for volatility ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Quasi-likelihood analysis for nonsynchronously observed diffusion processes ⋮ Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions ⋮ Parametric estimation for partially hidden diffusion processes sampled at discrete times ⋮ Adaptive control of diffusion processes with a discounted reward criterion ⋮ Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets ⋮ Hybrid multi-step estimators for stochastic differential equations based on sampled data ⋮ Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
This page was built for publication: Asymptotic theory for non-linear least squares estimator for diffusion processes
