Inference for Observations of Integrated Diffusion Processes

DOI10.1111/j.1467-9469.2004.02_023.xzbMath1062.62157WikidataQ55940993 ScholiaQ55940993MaRDI QIDQ4677104

Michael Sørensen, Susanne Ditlevsen

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2004.02_023.x

zbMATH Keywords

parameter estimation; Ornstein-Uhlenbeck process; estimating function; Cox Ingersoll Ross model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M20: Inference from stochastic processes and prediction

62M05: Markov processes: estimation; hidden Markov models

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