Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme

DOI10.1016/J.SYSCONLE.2023.105587MaRDI QIDQ6137819zbMATH OpenOpenAlexFDO

Authors Julien Apala N'drin

Publication date 4 September 2023

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2023.105587

zbMATH Keywords

asymptotic normalitydiffusion processesHellinger distanceEuler's schemealmost sure consistence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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Cited in

(4)

• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
• Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator
• Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method
• The application of minimum Hellinger distance method in parametric estimation of diffusion processes -- Based on the estimation of transition density

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