Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient

DOI10.1016/j.spa.2013.07.009zbMath1279.62170arXiv1206.0916OpenAlexW2037731378MaRDI QIDQ2434472

Romain Guy, Elisabeta Vergu, Catherine Larédo

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0916

zbMATH Keywords

high frequency dataminimum contrast estimatorslow frequency dataepidemic data

Mathematics Subject Classification ID

Related Items (13)

Adaptive estimator for a parabolic linear SPDE with a small noise ⋮ Central limit theorems of range-based estimators for diffusion models ⋮ Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises ⋮ Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise ⋮ Adaptive inference for small diffusion processes based on sampled data ⋮ Discrete-Time Statistical Inference for Multiscale Diffusions ⋮ Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations ⋮ Inference for partially observed epidemic dynamics guided by Kalman filtering techniques ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ On penalized estimation for dynamical systems with small noise ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Approximation of epidemic models by diffusion processes and their statistical inference ⋮ Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models

Cites Work

• Adaptive estimation of an ergodic diffusion process based on sampled data
• Estimation for stochastic differential equations with a small diffusion coefficient
• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Stochastic epidemic models and their statistical analysis
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
• Maximnm contrast estimation for diffusion processes from discrete observations
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