On estimating the diffusion coefficient
- 1 March 1987
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 24 (1), 105-114
- https://doi.org/10.2307/3214063
Abstract
Random processes of the diffusion type have the property that microscopic fluctuations of the trajectory make possible the identification of certain statistical parameters from one continuous observation. The paper deals with the construction of parameter estimates when observations are made at discrete but very dense time points.Keywords
This publication has 2 references indexed in Scilit:
- A note on asymptotic inference in a class of non-stationary processesStochastic Processes and their Applications, 1983
- Martingale Central Limit TheoremsThe Annals of Mathematical Statistics, 1971