Efficient estimation for diffusions sampled at high frequency over a fixed time interval
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Publication:527471
DOI10.3150/15-BEJ799zbMath1392.62250arXiv1507.06792WikidataQ38674394 ScholiaQ38674394MaRDI QIDQ527471
Publication date: 11 May 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.06792
stochastic differential equation; stable convergence; optimal rate; in-fill asymptotics; approximate martingale estimating functions; discrete time sampling of diffusions; normal variance-mixtures; random Fisher information
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes