Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix

DOI10.1080/03610926.2016.1257721zbMATH Open1462.62322OpenAlexW2552347064MaRDI QIDQ4595885FDOQ4595885

Authors: Jinguan Lin, Xiuqing Zhou, Xiuli Du 

Publication date: 6 December 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1257721

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zbMATH Keywords

maximum likelihood estimationgeneralized method of momentsconditional characteristic functionmultivariate diffusion process

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Estimation in multivariate analysis (62H12) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (1)

• Preliminary test and estimation in some multifactor diffusion processes

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