Bias reduction in the estimation of diffusion processes from discrete observations

DOI10.1093/IMAMCI/DNAA021zbMath1472.93191OpenAlexW3085245505MaRDI QIDQ5157883

J. C. Jimenez

Publication date: 20 October 2021

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnaa021

zbMATH Keywords

system identificationdiffusion processquasi-maximum likelihood estimatorprediction error estimatorinnovation estimator

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes ⋮ Computing high dimensional multiple integrals involving matrix exponentials

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