Classical method of moments for partially and discretely observed ergodic models

Hiroki Masuda

doi:10.1023/B:SISP.0000049120.83388.89

Classical method of moments for partially and discretely observed ergodic models

Hiroki Masuda

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We discuss the method of moments for a partially and discretely observed model driven by a time-homogeneous Lévy process. We suppose that the unobserved process is an ε-Markov process and that the data, which comes from another process, are available only at regularly spaced time points. Stochastic differential equations are particularly treated among many other possible models. Some illustrative examples are presented with simulations.

Original language	English
Pages (from-to)	25-50
Number of pages	26
Journal	Statistical Inference for Stochastic Processes
Volume	8
Issue number	1
DOIs	https://doi.org/10.1023/B:SISP.0000049120.83388.89
Publication status	Published - May 18 2005
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability

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