Parameter estimation for the drift of a time inhomogeneous jump diffusion process

DOI10.1111/j.1467-9574.2012.00537.xzbMath1541.62204MaRDI QIDQ6552749

Thomas Kott, Brice Franke

Publication date: 10 June 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

maximum likelihoodleast squares estimationtime-inhomogeneous diffusion processtime-continuous sample

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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