Simplified estimating functions for diffusion models with a high-dimensional parameter

DOI10.1111/1467-9469.00226MaRDI QIDQ2722305zbMATH OpenOpenAlexFDO

Authors Bo Martin Bibby, Michael Sørensen

Publication date 11 July 2001

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00226

zbMATH Keywords

asymptotic normalityconsistencyCox-Ingersoll-Ross modeldiscretely observed diffusionshyperbolic diffusionsOrnstein-Uhlenbeck processpseudo likelihoodstochastic differential equationsstock priceswind velocity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(13)

• Langevin diffusions on the torus: estimation and applications
• Efficient estimators for functionals of Markov chains with parametric marginals.
• Diffusion-type models with given marginal distribution and autocorrelation function
• Parametric inference for discretely observed subordinate diffusions
• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Parameter Estimation for Observed Diffusions in Manifolds
• A necessary characteristic equation of diffusion processes having Gaussian marginals
• Stein's method for invariant measures of diffusions via Malliavin calculus
• Estimating Functions in Indirect Inference
• Inference for Observations of Integrated Diffusion Processes
• Evidential inference for diffusion-type processes
• Parametric inference for diffusion processes observed at discrete points in time: a survey
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

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