Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme

DOI10.1016/j.sysconle.2023.105587zbMath1520.93554OpenAlexW4384197163MaRDI QIDQ6137819

Julien Apala N'drin

Publication date: 4 September 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2023.105587

zbMATH Keywords

asymptotic normalityHellinger distancediffusion processesEuler's schemealmost sure consistence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Hellinger distance estimates of long memory linear processes
• Estimation for diffusion processes from discrete observation
• Minimum Hellinger distance estimates for parametric models
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Martingale estimation functions for discretely observed diffusion processes
• Simulation and inference for stochastic differential equations. With R examples.
• Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method
• Estimation of the coefficients of a diffusion from discrete observations
• Simulated Moments Estimation of Markov Models of Asset Prices
• Approximate discrete-time schemes for statistics of diffusion processes
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Minimum complexity regression estimation with weakly dependent observations
• Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
• A new technique for simulating the likelihood of stochastic differential equations
• On the estimation of nonlinear time series models
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On Estimation of a Probability Density Function and Mode

This page was built for publication: Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme