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Estimation of the coefficients of a diffusion from discrete observations

 

作者: D. Dacunha-Castelle,   D. Florens-Zmirou,  

 

期刊: Stochastics  （Taylor Available online 1986）
卷期: Volume 19, issue 4  

页码: 263-284

 

ISSN:0090-9491

 

年代: 1986

 

DOI:10.1080/17442508608833428

 

出版商: Gordon and Breach Science Publishers, Inc

 

关键词: Diffusion process;sampling interval;estimation

 

数据来源: Taylor

 

摘要:

Estimating the parameters of a diffusio,. we give a measure of the loss of information due to discretization, when the sampling interval is. We emphasize differences that depend on whether σ2is known or unknown.

 

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