Information theory for maximum likelihood estimation of diffusion models
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Publication:898589
DOI10.1016/j.jeconom.2015.10.002zbMath1390.62166OpenAlexW2175264198MaRDI QIDQ898589
Publication date: 18 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.002
fiber bundleinfinitesimal generatorinfill asymptoticsmisspecificationhigh frequencyKullback-Leibler information criterion
Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Information theory (general) (94A15) Statistical aspects of information-theoretic topics (62B10)
Cites Work
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