Drift estimation of a certain class of diffusion processes from discrete observation
type: Item
instance of: scholarly article
title: Drift estimation of a certain class of diffusion processes from discrete observation
zbMATH Open document ID: 0842.62074
DOI: 10.1016/0898-1221(96)00011-9
publication date: 1996-08-04T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 878538
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic normality
zbMATH Keywords: one-dimensional nonstationary Gaussian diffusion models
zbMATH Keywords: maximum likelihood estimators
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: drift coefficient
zbMATH Keywords: maximum contrast estimators
zbMATH Keywords: discrete observations
zbMATH Keywords: Mishra-Prakasa Rao processes
author: Victor Harison
MaRDI profile type: Publication
full work available at URL: 0898-1221(96)00011-9
OpenAlex ID: W2031244364
cites work: Q4139359
cites work: Q4148534
cites work: Q4171432
cites work: Parameter estimation for kalman-bucy filter with small noise
cites work: Q4145232
cites work: Q4176867
cites work: The consistency of a nonlinear least squares estimator from diffusion processes
cites work: Estimation of the coefficients of a diffusion from discrete observations
cites work: Approximate discrete-time schemes for statistics of diffusion processes
cites work: Maximnm contrast estimation for diffusion processes from discrete observations
cites work: Q3702325
cites work: Q3319574
cites work: Maximum likelihood estimation for continuous-time stochastic processes
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 878538