Hybrid estimators for stochastic differential equations from reduced data

DOI10.1007/S11203-018-9184-XzbMath1450.62102OpenAlexW2804553473WikidataQ129782933 ScholiaQ129782933MaRDI QIDQ1656855

Masayuki Uchida, Yusuke Kaino

Publication date: 10 August 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-018-9184-x

zbMATH Keywords

ergodic diffusion processconvergence of momentsreduced datathinned dataBayes-type estimatorquasi maximum likelihood estimatormulti-step estimatornon-ergodic diffusion process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

Adaptive estimator for a parabolic linear SPDE with a small noise ⋮ Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Hybrid estimators for stochastic differential equations from reduced data ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ Unnamed Item ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise

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