Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- 1 November 2004
- journal article
- Published by The Econometric Society in Econometrica
- Vol. 72 (6) , 1773-1808
- https://doi.org/10.1111/j.1468-0262.2004.00553.x
Abstract
No abstract availableKeywords
This publication has 62 references indexed in Scilit:
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion ProcessScandinavian Journal of Statistics, 2000
- Some stationary processes in discrete and continuous timeAdvances in Applied Probability, 1998
- Spectral methods for identifying scalar diffusionsJournal of Econometrics, 1998
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the DensityMonte Carlo Methods and Applications, 1996
- Some topics in regenerative steady-state simulationActa Applicandae Mathematicae, 1994
- Target Zones and Exchange Rate DynamicsThe Quarterly Journal of Economics, 1991
- Integration by Parts and Time Reversal for Diffusion ProcessesThe Annals of Probability, 1989
- Time-reversible diffusionsAdvances in Applied Probability, 1978
- The problem of identification in finite parameter continuous time modelsJournal of Econometrics, 1973
- Two Singular Diffusion ProblemsAnnals of Mathematics, 1951