Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
By Masayuki Uchida. 2004
50 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/5a94ca3e6a4d9fbe35395221fbe8123014edf0f4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Hongwei Long
- Chunhua Ma
- Yasutaka Shimizu
- Nakahiro Yoshida
- Michael SØrensen
- Arnaud Gloter
- Masayuki Uchida
- Hiroki Masuda
In Mathematical Physics
- Hongwei Long
- Michael SØrensen
- Chunhua Ma
- Nakahiro Yoshida
- Yasutaka Shimizu
- Arnaud Gloter
- Masayuki Uchida
- Hiroki Masuda
In Statistics and Probability
- Hongwei Long
- Michael SØrensen
- Nakahiro Yoshida
- Chunhua Ma
- Yasutaka Shimizu
- Arnaud Gloter
- Masayuki Uchida
- Hiroki Masuda
Citations in the corpus
- Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “For the constraint nε → ∞ in condition (B), this condition is compatible with the condition (εnl)−1 → 0 for a positive integer l in Uchida [41].”
- Asymptotic Expansion for Small Diffusions Applied to Option Pricing (2004, methodology): “For the first order asymptotic theory for small diffusion models, see [3, 9–11, 19, 20, 25, 26].”
- Estimation for stochastic differential equations with a small diffusion coefficient (2009, methodology): “The same approach was used by Uchida (2004) to approximate martingale estimating functions.”
- Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (2009, methodology): “Uchida (2004, 2008) used the martingale estimating function approach to study the estimation of drift parameters for small diffusions underweaker conditions.”