scientific article; zbMATH DE number 4213277

MaRDI QIDQ3359614zbMATH OpenFDO

Authors Michael Sørensen

Publication date 1991

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)

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Cited in

(33)

• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• Parameter estimation for the drift of a time inhomogeneous jump diffusion process
• Estimating functions for jump-diffusions
• On the central limit theorem for point process martingales
• Asymptotic inference for semimartingale models with singular parameter points
• Convergence results for multivariate martingales
• Likelihood ratio processes for Markovian particle systems with killing and jumps
• Online drift estimation for jump-diffusion processes
• On Poisson mixture of lognormal distributions
• Statistical specification of jumps under semiparametric semimartingale models
• Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 64537 (Why is no real title available?)
• On likelihood estimation for a discretely observed jump process
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• On Lasso and Slope drift estimators for Lévy-driven Ornstein-Uhlenbeck processes
• Local \(M\)-estimation for jump-diffusion processes
• Model selection for Lévy measures in diffusion processes with jumps from discrete observations
• Exponential families of stochastic processes and Lévy processes
• Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps
• Local asymptotic quadraticity of stochastic process models based on stopping times
• Maximum likelihood estimator for the drift of a Brownian flow
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Likelihood theory for the graph Ornstein-Uhlenbeck process
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Empirical likelihood inference for the second-order jump-diffusion model
• On exponential families of Markov processes
• Structural estimation of jump-diffusion processes in macroeconomics
• Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations

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