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

DOI10.1111/1467-9469.00299MaRDI QIDQ4455910zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

parameter estimationMonte Carlo simulationstochastic differential equation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Approximate discrete-time schemes for statistics of diffusion processes
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process

Cited in

(14)

• 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
• Efficient computation of the quasi likelihood function for discretely observed diffusion processes
• 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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