Estimating continuous-time models with discretely sampled data
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Publication:5447121
zbMATH Open1156.91027MaRDI QIDQ5447121FDOQ5447121
Authors: Yacine Aït-Sahalia 
Publication date: 6 March 2008
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- scientific article; zbMATH DE number 4062415
Point estimation (62F10) Nonparametric estimation (62G05) Sampling theory, sample surveys (62D05) Stochastic models in economics (91B70)
Cited In (14)
- Measuring Discontinuities in Time Series Obtained with Repeated Sample Surveys
- Comments on `Fitting continuous-time and discrete-time models using discrete-time data and their application'
- An understandable way to discover methods to model interval input-output samples
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Generalized spectral testing for multivariate continuous-time models
- Nonparametric adaptive estimation for integrated diffusions
- Title not available (Why is that?)
- Assessing Persistence In Discrete Nonstationary Time‐Series Models
- Diagnostic analysis and computational strategies for estimating discrete time duration models -- a Monte Carlo study
- Quasi-maximum likelihood estimation of multivariate diffusions
- A Discrete-Time Approach for Heavy-Tailed Modeling
- Density approximations for multivariate affine jump-diffusion processes
- A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
- Empirical likelihood-based inference for nonparametric recurrent diffusions
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