Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE

DOI10.1023/A:1012254332474zbMath1006.62068MaRDI QIDQ1857364

Hans M. Dietz

Publication date: 17 February 2003

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

zbMATH Keywords

trajectory fitting estimatornon-ergodic diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations ⋮ Parametric estimation for non recurrent diffusion processes ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises ⋮ Asymptotic behaviours for the trajectory fitting estimator in Ornstein–Uhlenbeck process with linear drift ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises ⋮ Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations

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