Parametric Inference for Discretely Sampled Stochastic Differential Equations

DOI10.1007/978-3-540-71297-8_23zbMath1180.62118OpenAlexW1505052663MaRDI QIDQ3646969

Michael Sørensen

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_23

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model ⋮ Introduction to Stochastic Models in Biology ⋮ Detecting the sampling rate through observations ⋮ Prediction-based estimating functions: review and new developments ⋮ Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

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