Sample Partitioning Estimation for Ergodic Diffusions

DOI10.1080/03610918.2013.765471zbMath1320.60137OpenAlexW2065750126MaRDI QIDQ5252811

Luís Pedro Ramos, Pedro Mota, João Tiago Mexia

Publication date: 3 June 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.765471

zbMATH Keywords

consistencytransition densityergodic diffusionsmaximum likelihood estimatorsmethod of momentsmartingale estimating functionsinvariant densities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Martingale methods in financial modelling.
• Exponential families of stochastic processes
• A Theory of the Term Structure of Interest Rates
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