Efficient estimation for diffusions sampled at high frequency over a fixed time interval

DOI10.3150/15-BEJ799zbMath1392.62250arXiv1507.06792OpenAlexW1587074270WikidataQ38674394 ScholiaQ38674394MaRDI QIDQ527471

Yong-Cai Geng, Sumit K. Garg

Publication date: 11 May 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.06792

zbMATH Keywords

stochastic differential equationstable convergenceoptimal ratein-fill asymptoticsapproximate martingale estimating functionsdiscrete time sampling of diffusionsnormal variance-mixturesrandom Fisher information

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (5)

Prediction-based estimation for diffusion models with high-frequency data ⋮ A review of asymptotic theory of estimating functions ⋮ LAMN property for jump diffusion processes with discrete observations on a fixed time interval ⋮ Proportional stochastic generalized Lotka-Volterra model with an application to learning microbial community structures ⋮ Estimating functions for jump-diffusions

This page was built for publication: Efficient estimation for diffusions sampled at high frequency over a fixed time interval