Sample partitioning estimation for ergodic diffusions

DOI10.1080/03610918.2013.765471zbMATH Open1320.60137OpenAlexW2065750126MaRDI QIDQ5252811FDOQ5252811

Authors: Luís Pedro Ramos, Pedro P. Mota, João Tiago Mexia 

Publication date: 3 June 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.765471

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• scientific article; zbMATH DE number 1304737

zbMATH Keywords

consistencymethod of momentsmaximum likelihood estimatorstransition densityinvariant densitiesmartingale estimating functionsergodic diffusions

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingale methods in financial modelling.
• Exponential families of stochastic processes

Cited In (3)

• Large Sample Properties of Partitioning-Based Series Estimators
• Sample partitioning estimation for ergodic diffusions: application to Ornstein-Uhlenbeck diffu\-sion
• A diffusion generated method for computing Dirichlet partitions

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