Parametric estimation for partially hidden diffusion processes sampled at discrete times
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- Stefano Iacus & Masayuki Uchida & Nakahiro Yoshida, 2006. "Parametric estimation for partially hidden diffusion processes sampled at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1042, Universitá degli Studi di Milano.
References listed on IDEAS
- Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
- Paul Fearnhead & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Particle filters for partially observed diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 755-777.
- 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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KeywordsDiscrete observations Partially observed systems Diffusion processes;
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