Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

DOI10.1111/j.1467-9469.2004.00406.xzbMath1062.62162OpenAlexW2080644559MaRDI QIDQ4677112

Masayuki Uchida

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.1467-9469.2004.00406.x

zbMATH Keywords

parametric inferencediscrete time observationdiffusion process with small niose

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

• Elements of asymptotic statistics
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Approximate discrete-time schemes for statistics of diffusion processes
• Estimation of an Ergodic Diffusion from Discrete Observations
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