Minimum contrast estimation in diffusion processes
From MaRDI portal
Publication:4188620
DOI10.2307/3213375zbMath0403.62060OpenAlexW2324311513MaRDI QIDQ4188620
Publication date: 1979
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213375
Asymptotic NormalityDiffusion ProcessesMaximum LikelihoodEstimates Strong ConsistencyMinimum ContrastNon-Linear Stochastic Differential Equations
Related Items
On minimum-contrast estimation for hilbert space-valued stochastic differential equations, A two-stage realized volatility approach to estimation of diffusion processes with discrete data, Robust M-estimators in diffusion processes, A change detection procedure for an ergodic diffusion process, Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes, Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation, Le Cam-Stratonovich-Boole theory for Itô diffusions, Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter, Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias, A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model, Estimating a class of diffusions from discrete observations via approximate maximum likelihood method, Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process, Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process, Asymptotic behavior of M-estimator and related random field for diffusion process, Maximum likelihood estimation for the drift parameter in diffusion processes, Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations, Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling, ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS