Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
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Publication:2701807
DOI10.1051/ps:2000105zbMath1043.62070OpenAlexW2089521974MaRDI QIDQ2701807
Publication date: 5 March 2001
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/104263
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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Cites Work
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Limit theorems for discretely observed stochastic volatility models
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- Estimation of an Ergodic Diffusion from Discrete Observations
- On the inverse of the first hitting time problem for bidimensional processes
- On estimating the diffusion coefficient
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