Maximum-likelihood estimation for diffusion processes via closed-form density expansions
From MaRDI portal
Publication:366977
DOI10.1214/13-AOS1118zbMath1273.62196arXiv1308.2764MaRDI QIDQ366977
Publication date: 25 September 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.2764
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M05: Markov processes: estimation; hidden Markov models
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J60: Diffusion processes
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