Estimation for Dynamical Systems with Small Noise from Discrete Observations

DOI10.14490/jjss.33.157zbMath1063.62116OpenAlexW1994695972MaRDI QIDQ4678109

Masayuki Uchida

Publication date: 23 May 2005

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4dab25063b09b63727df6a94d8ac0fd58db87617

zbMATH Keywords

discrete time observationsdiffusion modelsquadratic martingale estimating function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (7)

Asymptotic inference for stochastic differential equations driven by fractional Brownian motion ⋮ Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise ⋮ Adaptive inference for small diffusion processes based on sampled data ⋮ Quasi likelihood analysis of volatility and nondegeneracy of statistical random field ⋮ On penalized estimation for dynamical systems with small noise ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Quasi-likelihood analysis for nonsynchronously observed diffusion processes

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