Sample partitioning estimation for ergodic diffusions

DOI10.1080/03610918.2013.765471MaRDI QIDQ5252811zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

consistencyergodic diffusionsinvariant densitiesmartingale estimating functionsmaximum likelihood estimatorsmethod of momentstransition density

Mathematics Subject Classification ID

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

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Cites work

• A theory of the term structure of interest rates
• Exponential families of stochastic processes
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Martingale methods in financial modelling.

Cited in

(3)

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

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