Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion

DOI10.1111/1467-9469.00299zbMATH Open1036.62065OpenAlexW2013660163WikidataQ57718464 ScholiaQ57718464MaRDI QIDQ4455910FDOQ4455910

Authors: Mathieu Kessler, S. Paredes 

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00299

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zbMATH Keywords

parameter estimationMonte Carlo simulationstochastic differential equation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Cites Work

• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
• Title not available (Why is that?)
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• Approximate discrete-time schemes for statistics of diffusion processes

Cited In (13)

• Parametric inference for diffusion processes observed at discrete points in time: a survey
• Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
• Information ratio test for model misspecification on parametric structures in stochastic diffusion models
• Martingale estimation functions for discretely observed diffusion processes
• A new technique for simulating the likelihood of stochastic differential equations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Bayesian inference for functional response in a stochastic predator-prey system
• Comment: ``The 2005 Neyman lecture: dynamic indeterminism in science
• Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

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