Statistical modeling for stochastic differential equations

MaRDI QIDQ6486985zbMATH OpenFDO

Authors Masayuki Uchida

Publication date 18 November 2014

Published in Journal of the Japan Statistical Society. Japanese Issue (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) 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)

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• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

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