Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

DOI10.1111/j.1468-0262.2004.00553.xzbMath1142.62390OpenAlexW2142283455MaRDI QIDQ5475062

Peter W. Glynn, J. Darrell Duffie

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00553.x

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items

A simple approach to the parametric estimation of potentially nonstationary diffusions, Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan, An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions, Nonlinearity and temporal dependence, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG, REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS, Moment estimation for parameters in high-order uncertain differential equations, Filtering with marked point process observations via Poisson chaos expansion, Data-Driven Pricing for a New Product, The continuous-time limit of score-driven volatility models, Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market, On the biological foundation of risk preferences, ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE, Parametric inference for diffusions observed at stopping times, Le Cam-Stratonovich-Boole theory for Itô diffusions, Irregular sampling and central limit theorems for power variations: the continuous case, Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods, Temporal aggregation of volatility models, Efficient importance sampling maximum likelihood estimation of stochastic differential equations, Volatility inference in the presence of both endogenous time and microstructure noise, Mean-Variance Portfolio Selection for Partially Observed Point Processes, Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation, Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity, Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations, Estimating parameters in diffusion processes using an approximate maximum likelihood approach, Parametric and nonparametric models and methods in financial econometrics, A new estimating function for discretely sampled diffusions, Efficient estimation and filtering for multivariate jump-diffusions, MIDAS Regressions: Further Results and New Directions, Random discretization of stationary continuous time processes, HEDGING WITH ENERGY, Causality effects in return volatility measures with random times, Asymptotic Inference for Jump Diffusions with State-Dependent Intensity, A survey of parameter and state estimation in queues, Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process, Spectral methods for identifying scalar diffusions