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Estimation of parameters of one stochastic differential equation

โœ Scribed by I. D. Cherkasov


Publisher
Springer US
Year
1995
Tongue
English
Weight
417 KB
Volume
75
Category
Article
ISSN
1573-8795

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โœ Carlo Bianchi; Eugene M. Cleur ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Springer US ๐ŸŒ English โš– 895 KB

In this paper we consider the estimation of some stochastic differential equation models by an indirect estimation method proposed by Gourieroux, Monfort and Renault (1993) using discrete data. The performance of this method is analysed via Monte Carlo experiments. In particular we examine the Vasic