Parametric inference for discretely observed non-ergodic diffusions

DOI10.3150/BJ/1151525127zbMath1100.62081OpenAlexW2057606362MaRDI QIDQ850751

Jean Jacod

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1151525127

zbMATH Keywords

moment estimatesBurkholder-Gundy inequalitynon-ergodic diffusion processesparametric inference for diffusions

Mathematics Subject Classification ID

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

Related Items (22)

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Cites Work

• Asymptotic optimal inference for non-ergodic models
• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Statistical inference for ergodic diffusion processes.
• Estimation of an Ergodic Diffusion from Discrete Observations
• On estimating the diffusion coefficient
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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