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

DOI10.1016/J.SYSCONLE.2023.105587zbMATH Open1520.93554OpenAlexW4384197163MaRDI QIDQ6137819FDOQ6137819

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

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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)

• 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
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models

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