An asymptotic sufficiency property of observations related to the first hitting times of a diffusion

DOI10.1016/0167-7152(90)90064-EzbMath0686.62064OpenAlexW2094805653MaRDI QIDQ1262670

Catherine Larédo, Valentine Genon-Catalot

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-7152(90)90064-e

zbMATH Keywords

partial observationsprocess with independent incrementsone-dimensional diffusionasymptotic sufficiencyfirst hitting times processminimum contrastsmall varianceunknown positive drift

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Distance de Hellinger-Kakutani des lois correspondant à deux processus à accroissements indépendants
• Non-parametric estimation for partially observed transient diffusion processes
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