scientific article; zbMATH DE number 878596

MaRDI QIDQ4878372zbMATH OpenFDO

Authors Emmanuelle Clément

Publication date 14 July 1996

zbMATH Keywords

approximation of the likelihood functionbias correctiondiffusion processsimulations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function
• Bias reduction in the estimation of diffusion processes from discrete observations
• Parameter estimation and bias correction for diffusion processes
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes

Cited in

(5)

• Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Parameter estimation and bias correction for diffusion processes
• Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function
• Bias reduction in the estimation of diffusion processes from discrete observations
• A maximum a posteriori estimator for trajectories of diffusion processes

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