HYBRID ESTIMATION FOR AN ERGODIC DIFFUSION PROCESS BASED ON REDUCED DATA

DOI10.5109/2232332zbMath1448.62073OpenAlexW2997592177MaRDI QIDQ5121428

Yuto Yoshida, Masayuki Uchida, Yusuke Kaino

Publication date: 14 September 2020

Published in: Bulletin of informatics and cybernetics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/2232332

zbMATH Keywords

stochastic differential equationhigh frequency dataconvergence of momentsBayes type estimatoradaptive maximum likelihood type estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Hybrid estimators for stochastic differential equations from reduced data ⋮ Unnamed Item ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Hybrid estimators for small diffusion processes based on reduced data

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