Bias reduction in the estimation of diffusion processes from discrete observations

DOI10.1093/IMAMCI/DNAA021MaRDI QIDQ5157883zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez

Publication date 20 October 2021

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/dnaa021

zbMATH Keywords

quasi-maximum likelihood estimatorsystem identificationdiffusion processprediction error estimatorinnovation estimator

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cited in

(7)

• Bias in estimating multivariate and univariate diffusions
• Parameter estimation and bias correction for diffusion processes
• Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes
• Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function
• Bias reduction in nonparametric diffusion coefficient estimation
• Antithetic Bias Reduction for Discrete-Event Simulations
• Computing high dimensional multiple integrals involving matrix exponentials

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