Asymptotic properties of Monte Carlo estimators of diffusion processes
From MaRDI portal
Publication:278039
DOI10.1016/j.jeconom.2005.06.028zbMath1418.62287OpenAlexW1517664946MaRDI QIDQ278039
Marcel Rindisbacher, René Garcia, Jérôme B. Detemple
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2003s-11.pdf
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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