Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion

DOI10.1051/PS:2000107zbMath0997.62063OpenAlexW2096667323MaRDI QIDQ2701810

Sandie Souchet Samos

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/104265

zbMATH Keywords

contrastgeneralized method of momentsergodic diffusioninstrumental variables estimationbias of estimationSimpson schemetrapezoidal schemevariance asymptotic efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Estimation for diffusion processes from discrete observation
• Martingale estimation functions for discretely observed diffusion processes
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
• Estimation of the coefficients of a diffusion from discrete observations
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Approximate discrete-time schemes for statistics of diffusion processes
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Estimation of an Ergodic Diffusion from Discrete Observations
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
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