Parameter estimation for some non-recurrent solutions of SDE

By H. M. Dietz, Y. Kutoyants. 2003

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a7d0f199dd621dceecaff0c261c90d1f4d10a328

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In Finance

1. Khalifa Es-Sebaiy
2. Y. Ouknine
3. Hongwei Long
4. R. Belfadli
5. Yaozhong Hu
6. David Nualart
7. Frederi G. Viens
8. Ciprian A. Tudor

Citations in the corpus

• Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions (2007, methodology): “The trajectory fitting method was first proposed by Kutoyants [6] as a numerically attractive alternative to the well-developed maximum-likelihood estimators for continuous diffusion processes (see Dietz and Kutoyants [2], [3], Dietz [1], and Kutoyants [7]).”
• Parameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case (2011, background): “If θ 0 (ergodic case), the maximum likelihood estimator (MLE) of θ is asymptotically normal (see Liptser and Shiryaev [9], Kutoyants [8]).”