Approximate martingale estimating functions for stochastic differential equations with small noises
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Cited by:
- Ma, Chunhua & Yang, Xu, 2014. "Small noise fluctuations of the CIR model driven by α-stable noises," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 1-11.
- Yang, Xu, 2017. "Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 18-27.
- Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
- Tetsuya Kawai & Masayuki Uchida, 2023. "Adaptive inference for small diffusion processes based on sampled data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(6), pages 643-696, August.
- Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for small diffusion processes based on reduced data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(7), pages 745-773, October.
- Ren, Panpan & Wu, Jiang-Lun, 2021. "Least squares estimation for path-distribution dependent stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 410(C).
- Long, Hongwei, 2009. "Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2076-2085, October.
- Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
- Xuekang Zhang & Huisheng Shu & Haoran Yi, 2023. "Parameter Estimation for Ornstein–Uhlenbeck Driven by Ornstein–Uhlenbeck Processes with Small Lévy Noises," Journal of Theoretical Probability, Springer, vol. 36(1), pages 78-98, March.
- Yasutaka Shimizu, 2017. "Threshold Estimation for Stochastic Processes with Small Noise," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 951-988, December.
- Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
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Keywords
Asymptotic efficiency Diffusion processes with small dispersion parameters Discrete time observation Eigenfunction Parametric inference;Statistics
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