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

DOI10.4213/TVP1810MaRDI QIDQ3842401zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 878596
• Bias reduction in the estimation of diffusion processes from discrete observations
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
• Parameter estimation and bias correction for diffusion processes

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

This page was built for publication: Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3842401)