Estimation of the drift for diffusion process

DOI10.1080/02331888508801854zbMath0574.62083OpenAlexW2064395901MaRDI QIDQ3692662

B. L. S. Prakasa Rao

Publication date: 1985

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888508801854

zbMATH Keywords

diffusion processopen problemsdrift coefficientsurvey of recent results

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

A selective overview of nonparametric methods in financial econometrics ⋮ Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion ⋮ Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application

Cites Work

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• Asymptotic inference for stochastic processes
• The equivalence between (modified) Bayes estimator and maximum likelihood estimator for Markov processes
• Maximum probability estimators and related topics
• The Berry-Esseen bound for minimum contrast estimates
• Nonparametric Identification for Diffusion Processes
• The oscillation of stochastic integrals
• Estimation for Distributions with Monotone Failure Rate
• On the rate of convergence of estimators for Markov processes
• Linear Statistical Inference and its Applications

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