On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case

DOI10.1137/S0040585X97T987120MaRDI QIDQ5255342zbMATH OpenOpenAlexFDO

Authors A. N. Startsev

Publication date 15 June 2015

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t987120

zbMATH Keywords

parameter estimationasymptotic propertieslinear diffusionnonstationary casetwo-dimensional Gaussian process

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Stochastic processes (60G99)

Recommendations

• Estimation of parameters in linear diffusion models
• Parameter estimation for diffusion type processes of observation
• Estimation of diffusion parameters in diffusion processes and their asymptotic normality
• On parameter estimation for switching diffusion process
• Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift

Cites work

• scientific article; zbMATH DE number 3163319 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 758243 (Why is no real title available?)
• scientific article; zbMATH DE number 3221816 (Why is no real title available?)
• Linear stochastic systems with constant coefficients. A statistical approach
• Maximum likelihood estimation for continuous-time stochastic processes

Cited in

(2)

• A new instrumental variable estimation for diffusion processes
• Estimation of some parameters of pseudo-Gaussian random processes

This page was built for publication: On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5255342)