Estimating functions for noisy observations of ergodic diffusions

DOI10.1007/S11203-015-9121-1zbMath1356.62121OpenAlexW1237845580MaRDI QIDQ265660

Benjamin Favetto

Publication date: 4 April 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-015-9121-1

zbMATH Keywords

diffusion processcentral limit theoremestimating functionsdiscrete time noisy observationsparametric inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (6)

Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Unnamed Item ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise ⋮ Adaptive test for ergodic diffusions plus noise ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

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