Simplified estimating functions for diffusion models with a high-dimensional parameter

Scandinavian Journal of Statistics

Volumn 28, Issue 1, 2001, Pages 99-112

  Bibby, Bo Martin ^a   Sørensen, Michael ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Asymptotic normality; Consistency; Cox ingersoll ross model; Discretely observed diffusions; Hyperbolic diffusions; Ornstein uhlenbeck process; Pseudo likelihood, stochastic differential equations; Stock prices; Wind velocity

Indexed keywords

EID: 0035529545     PISSN: 03036898     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9469.00226     Document Type: Article

References (20)

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