Inference for ergodic diffusions plus noise

DOI10.1111/sjos.12360zbMath1418.62343arXiv1805.11414OpenAlexW2963124325WikidataQ125289586 ScholiaQ125289586MaRDI QIDQ5381072

Masayuki Uchida, Shogo H. Nakakita

Publication date: 7 June 2019

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.11414

zbMATH Keywords

stochastic differential equationsergodic diffusion processesquasi-likelihoodsadaptive maximum-likelihood-type estimationdiscrete and noisy observation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05)

Related Items (6)

Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Unnamed Item ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise ⋮ Adaptive test for ergodic diffusions plus noise

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