Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias

DOI10.1007/BF02863555zbMath0656.62094MaRDI QIDQ3804040

Aurora Hermoso-Carazo, Manuel Molina-Fernandez, Ramón Gutiérrez-Jáimez

Publication date: 1986

Published in: Trabajos de Estadistica (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/40482

zbMATH Keywords

consistencyasymptotic normalitystopping timemaximum likelihood estimatormultidimensional diffusion processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors ⋮ Inference in lognormal multidimensional diffusion processes with exogenous factors: Application to modelling in economics

Cites Work

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• Estimation of a Parameter of a Diffusion Process
• Inference for the diffusion branching process
• Asymptotic likelihood theory for diffusion processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case
• Minimum contrast estimation in diffusion processes
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

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