Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
DOI10.1214/21-EJS1922zbMath1482.60107MaRDI QIDQ2074311
Valentine Genon-Catalot, Catherine Larédo
Publication date: 9 February 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Parametric-inference-for-small-variance-and-long-time-horizon-McKean/10.1214/21-EJS1922.full
infinite time horizonparametric inferenceasymptotic properties of estimatorssmall noiseMcKean-Vlasov stochastic differential equationscontinuous observations
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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