𝔖 Bobbio Scriptorium
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Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey

✍ Scribed by Helle Sørensen


Book ID
111415468
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
146 KB
Volume
72
Category
Article
ISSN
0306-7734

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A note on asymptotic properties of the e
✍ Isao Shoji 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 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