Parametric estimation for non recurrent diffusion processes

DOI10.1016/J.SPL.2018.05.024zbMATH Open1402.62188OpenAlexW2808697419WikidataQ129725977 ScholiaQ129725977MaRDI QIDQ722665FDOQ722665

Authors Ilham Abi-ayad, Tahar Mourid 

Publication date 27 July 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.05.024

zbMATH Keywords

strong consistencydiffusion processesasymptotic lawfitting trajectory estimatorsnon-recurrence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Non-parametric estimation for partially observed transient diffusion processes
• A simple approach to the parametric estimation of potentially nonstationary diffusions
• Nonparametric estimation of diffusions: a differential equations approach
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Parametric estimation from approximate data: non-Gaussian diffusions
• scientific article; zbMATH DE number 5910820
• Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes
• Parametric inference for discretely observed non-ergodic diffusions
• Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process

Cites Work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• scientific article; zbMATH DE number 4182650 (Why is no real title available?)
• Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Martingale estimation functions for discretely observed diffusion processes
• On a problem of statistical inference in null recurrent diffusions
• On invariant density estimation for ergodic diffusion processes
• On the asymptotic behaviour of solutions of stochastic differential equations
• Parameter estimation for some non-recurrent solutions of SDE
• Parametric inference for discretely observed non-ergodic diffusions
• Probability: A Graduate Course

Cited In (14)

• Estimation non paramétrique pour des processus dynamiques dilatants
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)
• Parametric inference for discretely observed non-ergodic diffusions
• Diffusion approximation for nonparametric autoregression
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
• Parametric estimation from approximate data: non-Gaussian diffusions
• Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
• Parameter estimation for certain nonstationary processes driven by α-stable motions
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Title not available (Why is no real title available?)
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Parameter estimation for some non-recurrent solutions of SDE

Uses Software

• CRAN
• Sim.DiffProc

This page was built for publication: Parametric estimation for non recurrent diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q722665)