Estimating Parameters of Diffusion Process with Unreachable Boundary
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 605521670 | ||
| 003 | CHVBK | ||
| 005 | 20210128100741.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20150201xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s10958-015-2231-x |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10958-015-2231-x | ||
| 245 | 0 | 0 | |a Estimating Parameters of Diffusion Process with Unreachable Boundary |h [Elektronische Daten] |c [I. Kozhevnikova, R. Suleymanova] |
| 520 | 3 | |a In the present paper we consider methods of estimating unknown parameters in diffusion-type models for continuous and discrete observations. It is assumed that the estimated parameters enter the model linearly. For continuously observed processes the maximum likelihood method is used. For diffusion processes, which are observed discretely and are described by stochastic differential equations, martingale methods of parameter estimations are developed based on the likelihood function approximation. Consistent and asymptotically normal parameter estimates are obtained. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 700 | 1 | |a Kozhevnikova |D I. |u Lomonosov Moscow State University, Moscow, Russia |4 aut | |
| 700 | 1 | |a Suleymanova |D R. |u Institute of Mathematics and Mechanics of the National Academy of Azerbaidjan, Baku, Azerbaidjan |4 aut | |
| 773 | 0 | |t Journal of Mathematical Sciences |d Springer US; http://www.springer-ny.com |g 205/1(2015-02-01), 74-84 |x 1072-3374 |q 205:1<74 |1 2015 |2 205 |o 10958 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10958-015-2231-x |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10958-015-2231-x |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Kozhevnikova |D I. |u Lomonosov Moscow State University, Moscow, Russia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Suleymanova |D R. |u Institute of Mathematics and Mechanics of the National Academy of Azerbaidjan, Baku, Azerbaidjan |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Journal of Mathematical Sciences |d Springer US; http://www.springer-ny.com |g 205/1(2015-02-01), 74-84 |x 1072-3374 |q 205:1<74 |1 2015 |2 205 |o 10958 | ||