Generalized moment estimation of stochastic differential equations

DOI10.1007/s00180-015-0598-2zbMath1347.65021OpenAlexW747915568MaRDI QIDQ311323

Márcio Poletti Laurini, Luiz Koodi Hotta

Publication date: 29 September 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0598-2

zbMATH Keywords

empirical likelihoodexponential tiltingmoment conditionsgeneralized minimum contrast

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Generalized moment estimation for uncertain differential equations ⋮ GMC/GEL estimation of stochastic volatility models

Uses Software

• R
• sde
• StFinMetrics

Cites Work

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