Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix
DOI10.1080/03610926.2016.1257721zbMath1462.62322OpenAlexW2552347064MaRDI QIDQ4595885
Xiuqing Zhou, Jin-Guan Lin, Xiu-li Du
Publication date: 6 December 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1257721
maximum likelihood estimationgeneralized method of momentsconditional characteristic functionmultivariate diffusion process
Estimation in multivariate analysis (62H12) Applications of statistics in engineering and industry; control charts (62P30) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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