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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 2, Pages 364–370
DOI: https://doi.org/10.4213/tvp1810 (Mi tvp1810) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Short Communications

Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function

E. Clement
Full-text PDF (356 kB) Citations (1)
DOI: https://doi.org/10.4213/tvp1810
Abstract: We consider the parameter estimation of a discretized diffusion process based on an approximation of the likelihood function. We suppose the observation step fixed and we propose to correct the bias of such estimators by using simulations of the process.
Keywords: diffusion process, discretization scheme, Euler scheme, asymptotic properties of estimators.
Received: 18.10.1995
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 2, Pages 283–288
DOI: https://doi.org/10.1137/S0040585X97976180
Bibliographic databases:
Document Type: Article
Language: English
Citation: E. Clement, “Bias correction for the estimation of discretized diffusion processes from an approximated likelihood function”, Teor. Veroyatnost. i Primenen., 42:2 (1997), 364–370; Theory Probab. Appl., 42:2 (1998), 283–288
Citation in format AMSBIB
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\by E.~Clement
\paper Bias correction for the estimation of discretized diffusion processes from
an approximated likelihood function
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 2
\pages 364--370
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\zmath{https://zbmath.org/?q=an:0947.62051}
\transl
\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 2
\pages 283--288
\crossref{https://doi.org/10.1137/S0040585X97976180}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000074375200007}
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  • https://www.mathnet.ru/eng/tvp1810
  • https://doi.org/10.4213/tvp1810
  • https://www.mathnet.ru/eng/tvp/v42/i2/p364
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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