Hybrid multi-step estimation of the volatility for stochastic regression models

zbMATH Open1403.62150MaRDI QIDQ4559871FDOQ4559871

Authors: Kengo Kamatani, Akihiro Nogita, Masayuki Uchida 

Publication date: 4 December 2018

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zbMATH Keywords

diffusion processconvergence of momentsasymptotic mixed normalityBayes type estimatordiscrete time observationsmaximum likelihood type estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (5)

• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• Hybrid estimators for stochastic differential equations from reduced data
• Hybrid estimators for small diffusion processes based on reduced data
• Title not available (Why is that?)
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution

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