Estimation of parameters for discretely observed diffusion processes with a variety of rates for information

DOI10.1007/S10463-010-0323-4zbMath1237.62103OpenAlexW2038492718MaRDI QIDQ421429

Yasutaka Shimizu

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-010-0323-4

zbMATH Keywords

consistencyrates of convergenceparametric inferencenon-ergodic diffusionsnormalized information

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

LAMN property for multivariate inhomogeneous diffusions with discrete observations ⋮ Estimation for incomplete information stochastic systems from discrete observations ⋮ Parametric estimation for non recurrent diffusion processes

Cites Work

• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• Parametric inference for discretely observed non-ergodic diffusions
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Statistical inference for ergodic diffusion processes.
• On a problem of statistical inference in null recurrent diffusions
• LAN property for ergodic diffusions with discrete observations
• Parameter estimation by deterministic approximation of a solution of a stochastic differential equation
• Maximum likelihood estimation for continuous-time stochastic processes
• Estimation of an Ergodic Diffusion from Discrete Observations
• Parameter estimation for some non-recurrent solutions of SDE

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