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Parameter estimation in infinite-dimensional stochastic differential equations

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  • Kim, Yoon Tae

Abstract

When the observation process can be written as a Banach space-valued semimartingale form, we consider the statistical estimation of parameters occurring in it.

Suggested Citation

  • Kim, Yoon Tae, 1999. "Parameter estimation in infinite-dimensional stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 195-204, November.
    • Handle: RePEc:eee:stapro:v:45:y:1999:i:3:p:195-204
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    References listed on IDEAS

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    1. Loges, Wilfried, 1984. "Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 17(2), pages 243-263, July.
    2. Hutton, James E. & Nelson, Paul I., 1986. "Quasi-likelihood estimation for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 22(2), pages 245-257, July.
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