Parameter estimation and bias correction for diffusion processes

Journal of Econometrics

Volumn 149, Issue 1, 2009, Pages 65-81

  Tang, Cheng Yong ^a   Chen, Song Xi ^b,c  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Department of Statistics Center for Statistics and Applications in Forensic Evidence Iowa State University 2438 Osborn Dr Ames   (United States)

^c Peking University   (China)

Author keywords

Bias correction; Bootstrap; Continuous time models; Diffusion processes; Jackknife; Parameter estimation

Indexed keywords

BLOCK CODES; CONTINUOUS TIME SYSTEMS; DIFFUSION; MAXIMUM LIKELIHOOD ESTIMATION; METAL ANALYSIS; QUANTUM CHEMISTRY;

BIAS CORRECTION; BOOTSTRAP; CONTINUOUS-TIME MODELS; DIFFUSION PROCESSES; JACKKNIFE;

PARAMETER ESTIMATION;

EID: 63149168918     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.11.001     Document Type: Article

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