Estimation of diffusion parameters for discretely observed diffusion processes

zbMATH Open1010.62076MaRDI QIDQ701680FDOQ701680

Authors: Helle Sørensen 

Publication date: 22 May 2003

Published in: Bernoulli (Search for Journal in Brave)

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zbMATH Keywords

consistencyrate of convergenceergodic diffusion processesempirical process theoryCKLS modeldiffusion parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cited In (43)

• Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
• Estimation for discretely observed diffusions using transform functions
• Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
• Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator
• Parameter estimation for ergodic linear SDEs from partial and discrete observations
• Title not available (Why is that?)
• Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model
• Inference for Observations of Integrated Diffusion Processes
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Title not available (Why is that?)
• Parameter estimation for diffusion process from perturbed discrete observations
• Estimating the diffusion coefficient function for a diversified world stock index
• To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
• Parameter estimation for discretely observed stochastic volatility models
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the discrete approximation of occupation time of diffusion processes
• Martingale estimation functions for discretely observed diffusion processes
• Truncated dynamics and estimation of diffusion equations
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Estimation of the coefficients of a diffusion from discrete observations
• Estimation of unknown parameters in diffusion models of interest rates of the prices of bonds
• Parametric estimation for partially hidden diffusion processes sampled at discrete times
• Conditioning diffusions with respect to incomplete observations
• Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• Title not available (Why is that?)
• Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
• Estimation for diffusion processes under misspecified models
• Title not available (Why is that?)
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Estimating functions for diffusion-type processes
• Title not available (Why is that?)
• Approximate discrete-time schemes for statistics of diffusion processes
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
• Parameter estimation for generalized diffusion processes with reflected boundary
• A fast numerical algorithm for the estimation of diffusion model parameters
• Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
• Title not available (Why is that?)
• Discretely observed diffusions: Approximation of the continuous-time score function
• An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
• A new estimating function for discretely sampled diffusions

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