Estimating parameters of diffusion process with unreachable boundary
DOI10.1007/S10958-015-2231-XzbMATH Open1327.60155OpenAlexW2004271409MaRDI QIDQ493867FDOQ493867
Authors: I. A. Kozhevnikova, R. A. Suleymanova 
Publication date: 4 September 2015
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10958-015-2231-x
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parameter estimationmaximum likelihood methodstochastic differential equationsdiffusion processesmartingale methods
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)
Cites Work
- Quasi-Likelihood and Optimal Estimation, Correspondent Paper
- Martingale estimation functions for discretely observed diffusion processes
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Cited In (15)
- A quasi-likelihood approach to estimating parameters in diffusion-type processes
- Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
- Title not available (Why is that?)
- Estimation of the killing rate parameter in a diffusion model
- To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
- Title not available (Why is that?)
- Variances of estimates of a diffusion process functional and its derivatives with respect to parameters
- Estimation of unknown parameters in diffusion models of interest rates of the prices of bonds
- Estimation of diffusion parameters for discretely observed diffusion processes
- ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
- Title not available (Why is that?)
- Estimation of parameters in linear diffusion models
- Parameter estimation for generalized diffusion processes with reflected boundary
- Optimal estimation of diffusion processes hidden by general obstacles
- A parameter estimation method using linear response statistics
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