𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Estimation for diffusion processes from discrete observation

✍ Scribed by Nakahiro Yoshida


Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
873 KB
Volume
41
Category
Article
ISSN
0047-259X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Optimal estimation for continuous state
✍ Yongdai Kim πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 553 KB

This paper is concerned with estimation of the drift parameter in a class of continuous state branching processes by use of the estimating function theory (Heyde, 1992, J. Statist. Plann. Inference 33, 121-129). The main interests are to develop a method of estimating the parameter in case when only

A note on asymptotic properties of the e
✍ Isao Shoji πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 239 KB

In this note we investigate asymptotic properties of an estimator, called the Euler estimator, which is obtained by maximizing the likelihood function of the process discretized by the Euler method. By linking the Euler estimator of the coefficients of the drift function of a stochastic differential