Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
From MaRDI portal
Publication:3839571
DOI10.2307/2669598zbMath0920.62132OpenAlexW3123021734MaRDI QIDQ3839571
George Tauchen, A. Ronald Gallant
Publication date: 5 September 1999
Full work available at URL: https://doi.org/10.2307/2669598
stochastic differential equationsefficient method of momentsnonlinear dynamic modelspartially observed state
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Estimation and detection in stochastic control theory (93E10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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