Optimal nonparametric estimation for some semimartingale stochastic differential equations

DOI10.1016/0096-3003(90)90005-NzbMath0718.60059OpenAlexW1970041899MaRDI QIDQ5925246

A. Thavaneswaran, Mary E. Thompson

Publication date: 1990

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90005-n

zbMATH Keywords

gamma processdiffusion modelsparametric estimationoptimality of the generalized score functionstochastic differential equation model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• The foundations of finite sample estimation in stochastic processes
• Optimal estimation for semimartingales
• A strong law of large numbers for local martingales
• A Functional Central Limit Theorem for Semimartingales
• On the Efficiency of a Class of Non-Parametric Estimates
• An Optimum Property of Regular Maximum Likelihood Estimation

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