Prediction-based estimating functions: review and new developments

DOI10.1214/11-BJPS148zbMath1230.62111MaRDI QIDQ642200

Michael Sørensen

Publication date: 25 October 2011

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationconsistencyasymptotic normalityGaussian processstochastic volatility modelPearson diffusionnon-Markovian modelsoptimal estimating functionpartially observed systemdiffusion with measurement errorsintegrated diffusionlinear predictorsstatistical inference for stochastic processessuperposition of diffusions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (5)

Prediction-based estimation for diffusion models with high-frequency data ⋮ Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ A transformation approach to modelling multi-modal diffusions ⋮ Statistical inference for discrete-time samples from affine stochastic delay differential equations

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