Classical method of moments for partially and discretely observed ergodic models

研究成果: Contribution to journalArticle査読

1 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)25-50
ページ数26
ジャーナルStatistical Inference for Stochastic Processes
8
1
DOI
出版ステータス出版済み - 2005
外部発表はい

All Science Journal Classification (ASJC) codes

  • 統計学および確率

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