Parameter estimation for some non-recurrent solutions of SDE
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DOI: 10.1524/stnd.21.1.29.20321
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References listed on IDEAS
- Hans Dietz, 2001. "Asymptotic Behaviour of Trajectory Fitting Estimators for Certain Non-ergodic SDE," Statistical Inference for Stochastic Processes, Springer, vol. 4(3), pages 249-258, October.
- Nakahiro Yoshida, 1990. "Asymptotic behavior of M-estimator and related random field for diffusion process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 221-251, June.
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Cited by:
- Yasutaka Shimizu, 2012. "Estimation of parameters for discretely observed diffusion processes with a variety of rates for information," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(3), pages 545-575, June.
- Yasutaka Shimizu, 2012. "Local asymptotic mixed normality for discretely observed non-recurrent Ornstein–Uhlenbeck processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(1), pages 193-211, February.
- Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.
- Shimizu, Yasutaka, 2009. "Notes on drift estimation for certain non-recurrent diffusion processes from sampled data," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2200-2207, October.
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