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Bidimensional random effect estimation in mixed stochastic differential model · Study

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ArticleBidimensional random effect estimation in mixed stochastic differential model

Charlotte Dion2015

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Articlegreen2015

Bidimensional random effect estimation in mixed stochastic differential model

Charlotte Dion · Valentine Genon‐Catalot

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

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Stochastic processes and financial applications Probability and Statistical Research Control Systems and Identification

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References

1999Continuous Martingales and Brownian Motion 2016Numerical solution of stochastic differential equations 2005On the discretization schemes for the CIR (and Bessel squared) processes 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications 2012Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects 2012Mouvement brownien, martingales et calcul stochastique 2013Nonparametric estimation for stochastic differential equations with random effects

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Year2015

Typearticle

Published2015-06-25

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-015-9122-0

openalex_workW899745688

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