Estimation for diffusion processes from discrete observation
β Scribed by Nakahiro Yoshida
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 873 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0047-259X
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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
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