Estimation of diffusion parameters for discretely observed diffusion processes

zbMath1010.62076MaRDI QIDQ701680

Helle Sørensen

Publication date: 22 May 2003

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

rate of convergenceconsistencyergodic diffusion processesempirical process theoryCKLS modeldiffusion parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator ⋮ Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model ⋮ Parameter estimation for diffusion process from perturbed discrete observations ⋮ Parameter estimation for ergodic linear SDEs from partial and discrete observations ⋮ Conditioning diffusions with respect to incomplete observations

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