Parametric inference for discretely sampled stochastic differential equations

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

英文文献：Parametric inference for discretely sampled stochastic differential equations
英文文献作者：Michael S?rensen
英文文献摘要：
A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale estimating functions. Particular attention is given to explicit estimating functions. Results on both fixed frequency and high frequency asymptotics are given. When choosing among the many estimators available, guidance is provided by simple criteria for high frequency efficiency and rate optimality that are presented in the framework of approximate martingale estimating functions.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖