Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function

DOI10.4213/TVP1810zbMATH Open0947.62051OpenAlexW2333560506MaRDI QIDQ3842401FDOQ3842401

Authors:

Publication date: 21 January 1999

Published in: Teoriya Veroyatnostei i ee Primeneniya (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4213/tvp1810

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cited In (4)

• Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Parameter estimation and bias correction for diffusion processes
• Unbiased parameter estimation for partially observed diffusions
• Bias reduction in the estimation of diffusion processes from discrete observations

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