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Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations · Study

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ArticleEstimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

Yasutaka Shimizu2006

Article2006

Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

Yasutaka Shimizu · Nakahiro Yoshida

138 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Mathematical and Theoretical Epidemiology and Ecology Models Stochastic processes and statistical mechanics

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References

1987Limit Theorems for Stochastic Processes 1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 1997Estimation of an Ergodic Diffusion from Discrete Observations 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes 1992Estimation for diffusion processes from discrete observation 1989Approximate discrete-time schemes for statistics of diffusion processes 1986Estimation of the coefficients of a diffusion from discrete observations 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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2011Estimation of Jump Tails 2009Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions 2011Quasi-likelihood analysis for the stochastic differential equation with jumps 2009Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises 2012Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

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Year2006

Typearticle

Published2006-07-10

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations138

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-005-8114-x

openalex_workW2011131366

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2013Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises

2016Least squares estimators for stochastic differential equations driven by small Lévy noises