An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

DOI10.1111/j.1467-9892.2005.00454.xzbMath1115.62100OpenAlexW2027099938WikidataQ110649535 ScholiaQ110649535MaRDI QIDQ3440742

Tohru Ozaki, J. C. Jimenez

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00454.x

zbMATH Keywords

discrete dataestimation of diffusion processesapproximate innovation method

Mathematics Subject Classification ID

Related Items (8)

Parameter estimation for a type of nonlinear stochastic models observed with error ⋮ Simplified formulas for the mean and variance of linear stochastic differential equations ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes ⋮ Development of a variational scheme for model inversion of multi-area model of brain. I: Simulation evaluation ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps ⋮ Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models

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