Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion

DOI10.1111/1467-9469.00299zbMath1036.62065OpenAlexW2013660163WikidataQ57718464 ScholiaQ57718464MaRDI QIDQ4455910

S. Paredes, Mathieu Kessler

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00299

zbMATH Keywords

stochastic differential equationparameter estimationMonte Carlo simulation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items

Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview, Information ratio test for model misspecification on parametric structures in stochastic diffusion models, Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme, Comment: ``The 2005 Neyman lecture: dynamic indeterminism in science, Parameter estimation for non-stationary Fisher-Snedecor diffusion, Bayesian inference for functional response in a stochastic predator-prey system, Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models, Monte Carlo maximum likelihood estimation for discretely observed diffusion processes, Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Cites Work

• Approximate discrete-time schemes for statistics of diffusion processes
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
• Unnamed Item
• Unnamed Item