scientific article; zbMATH DE number 4213277

zbMATH Open0733.62087MaRDI QIDQ3359614FDOQ3359614

Michael Sørensen

Publication date: 1991

Title of this publication is not available (Why is that?)

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zbMATH Keywords

driftcompound Poisson processexamplesdiffusions with jumpsmartingale central limit theoremscontinuously observed sample pathsexponential type likelihood functions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (31)

• Parameter estimation for the drift of a time inhomogeneous jump diffusion process
• Online drift estimation for jump-diffusion processes
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• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Local \(M\)-estimation for jump-diffusion processes
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Maximum likelihood estimator for the drift of a Brownian flow
• Model selection for Lévy measures in diffusion processes with jumps from discrete observations
• Local asymptotic quadraticity of stochastic process models based on stopping times
• Likelihood ratio processes for Markovian particle systems with killing and jumps
• On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
• Statistical specification of jumps under semiparametric semimartingale models
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• Asymptotic inference for semimartingale models with singular parameter points
• Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
• Estimating functions for jump-diffusions
• Empirical likelihood inference for the second-order jump-diffusion model
• On exponential families of Markov processes
• Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
• On the central limit theorem for point process martingales
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• Exponential families of stochastic processes and Lévy processes
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
• Structural estimation of jump-diffusion processes in macroeconomics
• Convergence results for multivariate martingales
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Likelihood theory for the graph Ornstein-Uhlenbeck process
• On likelihood estimation for a discretely observed jump process

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