Parametric estimation of a diffusion process with delays
type: Item
instance of: scholarly article
title: Parametric estimation of a diffusion process with delays
zbMATH Open document ID: 0757.62042
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 1992-09-27T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77426
review text: This paper studies the problem of estimating the parameters of a continuous-time stochastic process. The process is assumed to satisfy an autoregressive-like equation. This equation expresses the derivative of the process as a function of its past evolution, and it has a form which is quite different from that of the usual autoregressive equation. Using previous results obtained by Ibragimov and Khasminski and by Kutoyants, the authors make use of the asymptotic properties of the likelihood process to derive a number of results on the convergence, asymptotic normality and statistical efficiency of the proposed parameter estimator.
reviewed by: Petre Stoica
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 57277
zbMATH Keywords: autoregressive process
zbMATH Keywords: convergence
zbMATH Keywords: minimax bound
zbMATH Keywords: diffusion process with delays
zbMATH Keywords: continuous-time stochastic process
zbMATH Keywords: asymptotic properties of the likelihood process
author: Yu. A. Kutoyants
author: Tahar Mourid
author: Denis Bosq
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 57277