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

DOI10.1080/03610926.2016.1257721MaRDI QIDQ4595885zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

• Preliminary test and estimation in some multifactor diffusion processes

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