A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 2945-2965

  Giet, Ludovic ^a   Lubrano, Michel ^b  

^a UNIVERSITÉ DE PERPIGNAN   (France)

^b Centre National de la Recherche Scientifique   (France)

Author keywords

Bayesian inference; Continuous time; Dependent processes; Hellinger distance; Interest rate models; Non parametric density estimation; Specification tests

Indexed keywords

BAYESIAN NETWORKS; DIFFERENTIAL EQUATIONS; MAXIMUM LIKELIHOOD; PARAMETER ESTIMATION;

DEPENDENT PROCESSES; HELLINGER DISTANCE; KOLMOGOROV FORWARD EQUATION; SPECIFICATION TESTS; STOCHASTIC DIFFERENTIAL EQUATION;

STOCHASTIC MODELS;

EID: 39149111909     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.10.004     Document Type: Article

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