On minimum uniform metric estimate of parameters of diffusion-type processes

DOI10.1016/0304-4149(94)90044-2zbMath0801.62076OpenAlexW2028501012MaRDI QIDQ1336971

P. Pilibossian, Yury A. Kutoyants

Publication date: 30 November 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90044-2

zbMATH Keywords

consistencydiffusion coefficientlimit distributionsupremum normdiffusion-type processminimum distance estimatefinite-dimensional parameter estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

The law of iterated logarithm for the estimations of diffusion-type processes ⋮ Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case ⋮ Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises ⋮ On penalized estimation for dynamical systems with small noise ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process

Cites Work

• The minimum distance method of testing
• A General Approach to the Optimality of Minimum Distance Estimators
• On minimum distance estimation of location based on the kolmogorov statistic
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