Asymptotic likelihood theory for diffusion processes

DOI10.2307/3212436MaRDI QIDQ4074262zbMATHOpenAlexFDO

Authors Bruce Brown, J. I. Hewitt

Publication date 1975

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212436

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60)

Cited in

(27)

• Bias in the estimation of the mean reversion parameter in continuous time models
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• Recursive parameter estimation for semimartingales
• Nonparametric estimation of scalar diffusions based on low frequency data
• Non-parametric estimation for partially observed transient diffusion processes
• Optimal estimation for semimartingale neuronal models
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
• Estimation of parameters of linear homogeneous stochastic differential equations
• Asymptotically similar criteria
• Exponential families of stochastic processes and Lévy processes
• Recursive identification in continuous-time stochastic processes
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Bias reduction in nonparametric diffusion coefficient estimation
• Asymptotically optimal parameter estimation under communication constraints
• Statistical inference for some volterra population processes in a random environment
• Some aspects of modern population mathematics
• Reversibility and the age of an allele. II. Two-allele models, with selection and mutation
• Optimum portfolio diversification in a general continuous-time model
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Nonparametric drift estimation from ergodic samples
• Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
• Parameter estimation of uncertain differential equation with application to financial market
• The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance
• Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
• Asymptotic inference for stochastic processes

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