Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process

By Mathieu Kessler. 2000

100 citations recorded by the source corpus.

Subfields: Modeling and Simulation, Molecular Biology, Public Health, Environmental and Occupational Health

View Paper: https://www.semanticscholar.org/paper/762bdb0fd9050426afb32fc4f3b8b45ccf1f9a4d

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Citations in the corpus

Parameter Estimation for a Discretely Observed Integrated Diffusion Process (2006, background): “Under the assumption of fixed sampling interval, different kinds of estimating functions have been studied (see e.g. Barndorff-Nielsen & Sørensen, 1994; Kessler & Sørensen, 1999; Sørensen, 1999, 2000; Kessler, 2000; Bibby & Sørensen, 2001).”
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2006, methodology): “The class of indirect estimators developed in Gourieroux, Monfort and Renault (1993) and Gallant and Tauchen (1996) are offshoots of SMM.”
Hyperbolic Processes in Finance (2003, methodology): “Optimality questions were treated in Kessler (2000) and Jacobsen (2001).”
Estimating the Nitrous Oxide Emission Rate from the Soil Surface by Means of a Diffusion Model (2000, unknown): “…are modelled by a diffusion process, and the statistical inference is based on the theory for martingale estimating functions (Godambe & Heyde, 1987; Heyde, 1987, 1988; Sùrensen, 1990, 1997, 1998; Barndorff-Nielsen & Sùrensen, 1994; Pedersen, 1994b; Bibby & Sùrensen, 1995, 1996; Kessler, 1995).”
CHAPTER 4 – Estimating Functions for Discretely Sampled Diffusion-Type Models (2010, methodology): “…estimating functions have turned out to be very useful in obtaining estimators for discretely sampled diffusion-type models; see for instance Bibby & Sørensen (1995), Bibby & Sørensen (1996), Sørensen (1997), Kessler & Sørensen (1999), Kessler (2000), Bibby & Sørensen (2001), and Jacobsen (2001a).”
A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise (2011, background): “Florens-Zmirou (1989), Kasonga (1988), Kessler (2000). Remark 1.”
Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey (2004, background): “Kessler (2000) shows asymptotic results for the corresponding estimators and is also concerned with optimality.”