APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS

DOI10.1081/SAP-120015834zbMath1009.62071MaRDI QIDQ4797335

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 5 May 2003

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

zbMATH Keywords

diffusion processmaximum likelihood estimatorrectangular rule of approximationregularly spaced discrete time pointstrapezoidal rule of approximation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Trajectory fitting estimators for SPDEs driven by additive noise

Cites Work

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• The consistency of a nonlinear least squares estimator from diffusion processes
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• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• On estimating the diffusion coefficient
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• A New Representation for Stochastic Integrals and Equations
• Maximnm contrast estimation for diffusion processes from discrete observations

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