Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
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References listed on IDEAS
- Kasonga, R. A., 1988. "The consistency of a non-linear least squares estimator from diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 30(2), pages 263-275, December.
- Dietz Hans M. & Kutoyants Yury A., 2003. "Parameter estimation for some non-recurrent solutions of SDE," Statistics & Risk Modeling, De Gruyter, vol. 21(1/2003), pages 29-46, January.
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- Wang, Xiaohu & Yu, Jun, 2016.
"Double asymptotics for explosive continuous time models,"
Journal of Econometrics,
Elsevier, vol. 193(1), pages 35-53.
- Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.
- Xiaohu Wang & Jun Yu, 2012. "Double Asymptotics for Explosive Continuous Time Models," Working Papers 16-2012, Singapore Management University, School of Economics.
- Hui Jiang & Xing Dong, 2015. "Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift," Statistical Papers, Springer, vol. 56(1), pages 257-268, February.
- Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.
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