Parametric estimation from approximate data: non-Gaussian diffusions
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Publication:906937
DOI10.1007/s10955-015-1379-6zbMath1419.62040arXiv1501.05370OpenAlexW2114752479MaRDI QIDQ906937
Robert Azencott, Ilya Timofeyev, Peng Ren
Publication date: 1 February 2016
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.05370
stationary processparametric estimationempirical covariance estimatorsindirect observabilitynon-Gaussian diffusionsoptimal sub-sampling schemes
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Sampling theory, sample surveys (62D05)
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Diffusion Parameter Estimation for the Homogenized Equation, Realised volatility and parametric estimation of Heston SDEs
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Cites Work
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