Bias reduction in the estimation of diffusion processes from discrete observations

DOI10.1093/IMAMCI/DNAA021zbMATH Open1472.93191OpenAlexW3085245505MaRDI QIDQ5157883FDOQ5157883

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

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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)

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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