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On continuous and discrete sampling for parameter estimation in diffusion type processes · Study

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ChapterOn continuous and discrete sampling for parameter estimation in diffusion type processes

Alain Breton1976

Chapter1976

On continuous and discrete sampling for parameter estimation in diffusion type processes

73 citations·0/0 files stored·Mathematical programming studies

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Stochastic processes and financial applications Control Systems and Identification Markov Chains and Monte Carlo Methods

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1983Asymptotic theory for non-linear least squares estimator for diffusion processes 2004Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices 1988The consistency of a non-linear least squares estimator from diffusion processes 1996On effects of discretization on estimators of drift parameters for diffusion processes 2009Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises 2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises 2001Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process 2015Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)

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Year1976

Typechapter

Published1976-01-01

VenueMathematical programming studies

ISSN-L0303-3929

Languageen

Citations73

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0120770

openalex_workW26239744

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