Parameter estimation by contrast minimization for noisy observations of a diffusion process

DOI10.1080/02331888.2013.828058zbMath1304.62110OpenAlexW2023991535MaRDI QIDQ2934864

Benjamin Favetto

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.828058

zbMATH Keywords

diffusion processhidden Markov modelsdiscrete time noisy observationsparametric inferencecontrast function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Related Items (11)

Estimating functions for noisy observations of ergodic diffusions ⋮ Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Parameter identification for a stochastic logistic growth model with extinction ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Unnamed Item ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ 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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• A Tale of Two Time Scales

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