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Parametric estimation for partially hidden diffusion processes sampled at discrete times

✍ Scribed by Stefano Maria Iacus; Masayuki Uchida; Nakahiro Yoshida


Book ID
108266877
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
839 KB
Volume
119
Category
Article
ISSN
0304-4149

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✍ 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