Classical method of moments for partially and discretely observed ergodic models

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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 languageEnglish
Pages (from-to)25-50
Number of pages26
JournalStatistical Inference for Stochastic Processes
Volume8
Issue number1
DOIs
Publication statusPublished - May 18 2005
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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