Drift estimation of a certain class of diffusion processes from discrete observation

DOI10.1016/0898-1221(96)00011-9zbMath0842.62074OpenAlexW2031244364MaRDI QIDQ1913464

Victor Harison

Publication date: 4 August 1996

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(96)00011-9

zbMATH Keywords

consistencyasymptotic normalityOrnstein-Uhlenbeck processdiscrete observationsmaximum likelihood estimatorsdrift coefficientmaximum contrast estimatorsMishra-Prakasa Rao processesone-dimensional nonstationary Gaussian diffusion models

Mathematics Subject Classification ID

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

Related Items (2)

Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions

Cites Work

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• The consistency of a nonlinear least squares estimator from diffusion processes
• Estimation of the coefficients of a diffusion from discrete observations
• Approximate discrete-time schemes for statistics of diffusion processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Parameter estimation for kalman-bucy filter with small noise
• Maximnm contrast estimation for diffusion processes from discrete observations

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