On estimating the diffusion coefficient

From MaRDI portal
Publication:4723090

DOI10.2307/3214063zbMath0615.62109OpenAlexW2070366724MaRDI QIDQ4723090

Gejza Dohnal

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/106440



Related Items

Parametric estimation for a parabolic linear SPDE model based on discrete observations, Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise, Diffusions with measurement errors. I. Local Asymptotic Normality, Diffusions with measurement errors. II. Optimal estimators, APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS, Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term, Quantifying Model Uncertainties in Complex Systems, Parametric inference for discretely observed non-ergodic diffusions, Maximum likelihood estimation for Wishart processes, Minimax estimation of the diffusion coefficient through irregular samplings, Hybrid estimators for stochastic differential equations from reduced data, Local asymptotic mixed normality of transformed Gaussian models for random fields, Approximate discrete-time schemes for statistics of diffusion processes, Local asymptotic mixed normality property for nonsynchronously observed diffusion processes, Parametric inference for diffusions observed at stopping times, LAMN property for jump diffusion processes with discrete observations on a fixed time interval, Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient, Quasi likelihood analysis of volatility and nondegeneracy of statistical random field, Learning interacting particle systems: Diffusion parameter estimation for aggregation equations, Bayesian prediction and model selection for locally asymptotically mixed normal models, Estimating a class of diffusions from discrete observations via approximate maximum likelihood method, Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases, Non parametric estimation of the diffusion coefficient of a diffusion process, Random sampling in estimation problems for continuous Gaussian processes with independent increments, Estimation of the Diffusion Coefficient Under Strong Mixing, Nonsynchronous covariation process and limit theorems, LAMN property for hidden processes: the case of integrated diffusions, Predicting integrals of diffusion processes with unknown diffusion parameters, Global jump filters and quasi-likelihood analysis for volatility, Quasi-likelihood analysis for nonsynchronously observed diffusion processes, An inverse problem for stochastic differential equations, Elephant-seal movements: Modelling migration, Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE