On likelihood estimation for a discretely observed jump process

DOI10.1016/j.crma.2005.12.025zbMath1082.62070OpenAlexW2050980172MaRDI QIDQ817921

Dominique Dehay, Jian-feng Yao

Publication date: 20 March 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2005.12.025

Mathematics Subject Classification ID

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

Cites Work

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• Maximum likelihood estimation in the birth-and-death process
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Statistical Methods in Markov Chains
• Estimation in the birth process
• Statistical Inference for Discretely Observed Markov Jump Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach