Adaptive estimation of an ergodic diffusion process based on sampled data

DOI10.1016/j.spa.2012.04.001zbMath1243.62113OpenAlexW1974862158MaRDI QIDQ436297

Masayuki Uchida, Nakahiro Yoshida

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.001

zbMATH Keywords

tablesstochastic differential equationdiscrete time observationsconvergence of momentsmaximum likelihood type estimator

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) Diffusion processes (60J60)

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