Estimation for diffusion processes under misspecified models

DOI10.2307/3213613zbMath0555.62067OpenAlexW4240328449MaRDI QIDQ3218962

Ian W. McKeague

Publication date: 1984

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213613

zbMATH Keywords

noiserobustnessasymptotic normalitymaximum likelihood estimatorparametric modeldriftstandard Wiener processstationary ergodic diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Minimum distance estimation and testing for interest rate models ⋮ Robust M-estimators in diffusion processes ⋮ Optimality of estimators for misspecified semi-Markov models ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models

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