Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
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Publication:2046480
DOI10.1007/s10463-020-00746-3zbMath1471.62377arXiv1806.09401OpenAlexW3005811397WikidataQ114227662 ScholiaQ114227662MaRDI QIDQ2046480
Yusuke Kaino, Shogo H. Nakakita, Masayuki Uchida
Publication date: 18 August 2021
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.09401
stochastic differential equationsdiffusion processesquasi-likelihood analysisconvergence of momentsobservation noiseBayes-type estimation
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Parameter estimation for ergodic linear SDEs from partial and discrete observations, Unnamed Item, Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
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