A new instrumental variable estimation for diffusion processes

DOI10.1007/BF02915435zbMath1093.62080MaRDI QIDQ2495332

Yanyan Li

Publication date: 5 July 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

Cauchy estimatorinstrumental variable estimatornon-stationary nonlinear diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Parametric hypothesis testing (62F03) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items (2)

Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion

Cites Work

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• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Testing for Unit Roots in Seasonal Time Series

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