APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS
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Publication:4797335
DOI10.1081/SAP-120015834zbMath1009.62071MaRDI QIDQ4797335
B. L. S. Prakasa Rao, Mahendra Nath Mishra
Publication date: 5 May 2003
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
diffusion process; maximum likelihood estimator; rectangular rule of approximation; regularly spaced discrete time points; trapezoidal rule of approximation
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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Cites Work
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