Estimating stochastic differential equations efficiently by minimum chi-squared

DOI10.1093/biomet/84.1.125zbMath0953.62084OpenAlexW2162821851MaRDI QIDQ4364850

A. Ronald Gallant, Jonathan R. Long

Publication date: 29 January 2001

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/84.1.125

zbMATH Keywords

efficiencydiffusionsexchange ratespecification testpartially observed stateminimum chi-squared estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

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