Parameter inference for degenerate diffusion processes

DOI10.1016/j.spa.2024.104384MaRDI QIDQ6570500

Alexandros Beskos, Yuga Iguchi, Matthew M. Graham

Publication date: 10 July 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationparameter inferencepartial observationsHörmander's conditiongeneralised Langevin equationhypo-elliptic diffusion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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