Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

DOI10.1016/J.SPL.2009.07.015zbMATH Open1171.62341OpenAlexW2024226074MaRDI QIDQ734708FDOQ734708

Authors: Yasutaka Shimizu 

Publication date: 13 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.015

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Mathematics Subject Classification ID

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

Cites Work

• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Estimation of an Ergodic Diffusion from Discrete Observations
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• The consistency of a nonlinear least squares estimator from diffusion processes
• Title not available (Why is that?)
• Maximum likelihood estimation for continuous-time stochastic processes
• Some comments concerning a curious singularity
• Parameter estimation for some non-recurrent solutions of SDE
• Parametric inference for discretely observed non-ergodic diffusions
• Title not available (Why is that?)

Cited In (19)

• Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• A note on estimating drift and diffusion parameters from time series
• Double asymptotics for explosive continuous time models
• Estimation of the drift for diffusion process
• Drift estimation on non compact support for diffusion models
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Parameter estimation for certain nonstationary processes driven by α-stable motions
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Fisher informations from continuous and discrete observations of the drift of the Ornstein-Uhlenbeck process
• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• Statistical inference for nonergodic weighted fractional Vasicek models
• Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
• Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters

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