Estimation of the coefficients of a diffusion from discrete observations
- 1 December 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 19 (4) , 263-284
- https://doi.org/10.1080/17442508608833428
Abstract
Estimating the parameters of a diffusio,. we give a measure of the loss of information due to discretization, when the sampling interval is. We emphasize differences that depend on whether σ2 is known or unknown.Keywords
This publication has 3 references indexed in Scilit:
- DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRYRussian Mathematical Surveys, 1975
- Estimation and control in Markov chainsAdvances in Applied Probability, 1974
- On the choice of sampling rates in parametric identification of time seriesInformation Sciences, 1969