The consistency of a non-linear least squares estimator from diffusion processes
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- Andreas Neuenkirch & Samy Tindel, 2014. "A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 99-120, April.
- Bishwal Jaya P. N., 2009. "Berry–Esseen inequalities for discretely observed diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 15(3), pages 229-239, January.
- 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.
- 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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Keywords
consistency least squares estimator diffusion stochastic differential equation discrete data continuous data stationary process;Statistics
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