Comparative study of estimation methods for continuous time stochastic processes
β Scribed by Isao Shoji; Tohru Ozaki
- Book ID
- 108549301
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 614 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Identi"cation of continuous-time autoregressive processes from discrete-time data by replacing the di!erentiation operator by an approximation is considered. A linear regression model can then be formulated. The least-squares method and the instrumental variables method must be used with some care t
We specify necessary conditions for getting parametric convergence rate of kernel density estimators. For continuoustime processes observed over [0, T], we show that two possible exact rates are (In T)/T and 1/T, according to the nature of sample paths.