Comparative study of estimation methods for continuous time stochastic processes
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Publication:4367890
DOI10.1111/1467-9892.00064zbMath0882.62080OpenAlexW2059074024MaRDI QIDQ4367890
Publication date: 2 December 1997
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00064
discretizationstochastic differential equationmaximum likelihood estimationgeneralized method of moments
Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)
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