Kaino, Yusuke; Uchida, Masayuki Parametric estimation for a parabolic linear SPDE model based on discrete observations. (English) Zbl 1455.62055 J. Stat. Plann. Inference 211, 190-220 (2021). MSC: 62F10 60H15 60J60 PDF BibTeX XML Cite \textit{Y. Kaino} and \textit{M. Uchida}, J. Stat. Plann. Inference 211, 190--220 (2021; Zbl 1455.62055) Full Text: DOI
Escobedo-Trujillo, B. A.; Hernández-Lerma, O.; Alaffita-Hernández, F. A. Adaptive control of diffusion processes with a discounted reward criterion. (English) Zbl 07291096 Appl. Math. 47, No. 2, 225-253 (2020). Reviewer: Heinrich Hering (Rockenberg) MSC: 93E35 PDF BibTeX XML Cite \textit{B. A. Escobedo-Trujillo} et al., Appl. Math. 47, No. 2, 225--253 (2020; Zbl 07291096) Full Text: DOI
Kaino, Yusuke; Nakakita, Shogo H.; Uchida, Masayuki Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. (English) Zbl 1437.62099 Stat. Inference Stoch. Process. 23, No. 1, 171-198 (2020). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 62F10 62M10 60J60 60H15 PDF BibTeX XML Cite \textit{Y. Kaino} et al., Stat. Inference Stoch. Process. 23, No. 1, 171--198 (2020; Zbl 1437.62099) Full Text: DOI
Clairon, Quentin; Samson, Adeline Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations. (English) Zbl 1436.62077 Stat. Inference Stoch. Process. 23, No. 1, 105-127 (2020). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 62F10 60H15 49K20 PDF BibTeX XML Cite \textit{Q. Clairon} and \textit{A. Samson}, Stat. Inference Stoch. Process. 23, No. 1, 105--127 (2020; Zbl 1436.62077) Full Text: DOI
Both, Sandy; Horneff, Vanya; Kaschützke, Barbara; Maurer, Raimond Surplus participation schemes for life annuities under Solvency II. (English) Zbl 1433.91127 Eur. Actuar. J. 9, No. 2, 391-421 (2019). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Both} et al., Eur. Actuar. J. 9, No. 2, 391--421 (2019; Zbl 1433.91127) Full Text: DOI
Clément, Emmanuelle; Gloter, Arnaud Estimating functions for SDE driven by stable Lévy processes. (English. French summary) Zbl 07133723 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1316-1348 (2019). MSC: 60G51 60G52 60J75 62F12 60H07 60F05 PDF BibTeX XML Cite \textit{E. Clément} and \textit{A. Gloter}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1316--1348 (2019; Zbl 07133723) Full Text: DOI Euclid
Jakobsen, Nina Munkholt; Sørensen, Michael Estimating functions for jump – diffusions. (English) Zbl 07107503 Stochastic Processes Appl. 129, No. 9, 3282-3318 (2019). MSC: 60 PDF BibTeX XML Cite \textit{N. M. Jakobsen} and \textit{M. Sørensen}, Stochastic Processes Appl. 129, No. 9, 3282--3318 (2019; Zbl 07107503) Full Text: DOI arXiv
Nakakita, Shogo H.; Uchida, Masayuki Adaptive test for ergodic diffusions plus noise. (English) Zbl 1422.62092 J. Stat. Plann. Inference 203, 131-150 (2019). MSC: 62F10 60J60 62P12 PDF BibTeX XML Cite \textit{S. H. Nakakita} and \textit{M. Uchida}, J. Stat. Plann. Inference 203, 131--150 (2019; Zbl 1422.62092) Full Text: DOI arXiv
De Gregorio, A.; Iacus, S. M. Empirical \(L^2\)-distance test statistics for ergodic diffusions. (English) Zbl 1426.62239 Stat. Inference Stoch. Process. 22, No. 2, 233-261 (2019). MSC: 62M02 60J60 62F05 PDF BibTeX XML Cite \textit{A. De Gregorio} and \textit{S. M. Iacus}, Stat. Inference Stoch. Process. 22, No. 2, 233--261 (2019; Zbl 1426.62239) Full Text: DOI
Guo, Weiwei; Li, Lingfei Parametric inference for discretely observed subordinate diffusions. (English) Zbl 1419.62210 Stat. Inference Stoch. Process. 22, No. 1, 77-110 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M05 62M15 62N02 60J60 62F03 PDF BibTeX XML Cite \textit{W. Guo} and \textit{L. Li}, Stat. Inference Stoch. Process. 22, No. 1, 77--110 (2019; Zbl 1419.62210) Full Text: DOI arXiv
Huang, Hui; Liu, Jian-Guo; Lu, Jianfeng Learning interacting particle systems: diffusion parameter estimation for aggregation equations. (English) Zbl 1412.65171 Math. Models Methods Appl. Sci. 29, No. 1, 1-29 (2019). MSC: 65M75 35K55 60H30 60J65 65M32 35R60 PDF BibTeX XML Cite \textit{H. Huang} et al., Math. Models Methods Appl. Sci. 29, No. 1, 1--29 (2019; Zbl 1412.65171) Full Text: DOI arXiv
Huzak, Miljenko Estimating a class of diffusions from discrete observations via approximate maximum likelihood method. (English) Zbl 07302489 Statistics 52, No. 2, 239-272 (2018). MSC: 62M05 62F12 60J60 PDF BibTeX XML Cite \textit{M. Huzak}, Statistics 52, No. 2, 239--272 (2018; Zbl 07302489) Full Text: DOI
Kaino, Yusuke; Uchida, Masayuki Hybrid estimators for stochastic differential equations from reduced data. (English) Zbl 1450.62102 Stat. Inference Stoch. Process. 21, No. 2, 435-454 (2018). MSC: 62M05 62F03 62-08 60J60 60H15 PDF BibTeX XML Cite \textit{Y. Kaino} and \textit{M. Uchida}, Stat. Inference Stoch. Process. 21, No. 2, 435--454 (2018; Zbl 1450.62102) Full Text: DOI
Abi-ayad, Ilham; Mourid, Tahar Parametric estimation for non recurrent diffusion processes. (English) Zbl 1402.62188 Stat. Probab. Lett. 141, 96-102 (2018). MSC: 62M05 60H10 62F12 60J60 PDF BibTeX XML Cite \textit{I. Abi-ayad} and \textit{T. Mourid}, Stat. Probab. Lett. 141, 96--102 (2018; Zbl 1402.62188) Full Text: DOI
Verdejo, Humberto; Escudero, William; Kliemann, Wolfgang; Awerkin, Almendra; Becker, Cristhian; Vargas, Luis Impact of wind power generation on a large scale power system using stochastic linear stability. (English) Zbl 07162940 Appl. Math. Modelling 40, No. 17-18, 7977-7987 (2016). MSC: 93 65 PDF BibTeX XML Cite \textit{H. Verdejo} et al., Appl. Math. Modelling 40, No. 17--18, 7977--7987 (2016; Zbl 07162940) Full Text: DOI
Wen, Jianghui; Wang, Xiangjun; Mao, Shuhua; Xiao, Xinping Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application. (English) Zbl 1410.62160 Appl. Math. Comput. 274, 237-246 (2016). MSC: 62M05 35R60 60H10 PDF BibTeX XML Cite \textit{J. Wen} et al., Appl. Math. Comput. 274, 237--246 (2016; Zbl 1410.62160) Full Text: DOI
Höök, Lars Josef; Lindström, Erik Efficient computation of the quasi likelihood function for discretely observed diffusion processes. (English) Zbl 06918238 Comput. Stat. Data Anal. 103, 426-437 (2016). MSC: 62 PDF BibTeX XML Cite \textit{L. J. Höök} and \textit{E. Lindström}, Comput. Stat. Data Anal. 103, 426--437 (2016; Zbl 06918238) Full Text: DOI
Uchida, Masayuki; Yoshida, Nakahiro Model selection for volatility prediction. (English) Zbl 1359.62348 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 343-360 (2016). MSC: 62M05 60J60 62B10 PDF BibTeX XML Cite \textit{M. Uchida} and \textit{N. Yoshida}, in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 343--360 (2016; Zbl 1359.62348) Full Text: DOI
Wei, Chao; Shu, Huisheng Maximum likelihood estimation for the drift parameter in diffusion processes. (English) Zbl 1367.62247 Stochastics 88, No. 5, 699-710 (2016). MSC: 62M05 60J60 PDF BibTeX XML Cite \textit{C. Wei} and \textit{H. Shu}, Stochastics 88, No. 5, 699--710 (2016; Zbl 1367.62247) Full Text: DOI
Stibůrek, David Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes. (English) Zbl 1441.62222 Stat. Methods Appl. 25, No. 3, 433-452 (2016). MSC: 62M05 60H10 60G51 60G52 62F12 PDF BibTeX XML Cite \textit{D. Stibůrek}, Stat. Methods Appl. 25, No. 3, 433--452 (2016; Zbl 1441.62222) Full Text: DOI
Wei, Chao; Shu, Huisheng; Liu, Yurong Gaussian estimation for discretely observed Cox-Ingersoll-Ross model. (English) Zbl 1342.93110 Int. J. Gen. Syst. 45, No. 5, 561-574 (2016). MSC: 93E10 93C73 60H10 PDF BibTeX XML Cite \textit{C. Wei} et al., Int. J. Gen. Syst. 45, No. 5, 561--574 (2016; Zbl 1342.93110) Full Text: DOI
Cattiaux, Patrick; León, José R.; Prieur, Clémentine Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term. (English) Zbl 1343.62047 Ann. Appl. Probab. 26, No. 3, 1581-1619 (2016). MSC: 62M05 60H10 60F05 62G07 PDF BibTeX XML Cite \textit{P. Cattiaux} et al., Ann. Appl. Probab. 26, No. 3, 1581--1619 (2016; Zbl 1343.62047) Full Text: DOI Euclid arXiv
Favetto, Benjamin Estimating functions for noisy observations of ergodic diffusions. (English) Zbl 1356.62121 Stat. Inference Stoch. Process. 19, No. 1, 1-28 (2016). MSC: 62M05 60J60 62E20 62F12 PDF BibTeX XML Cite \textit{B. Favetto}, Stat. Inference Stoch. Process. 19, No. 1, 1--28 (2016; Zbl 1356.62121) Full Text: DOI
Antoniano-Villalobos, Isadora; Walker, Stephen G. A nonparametric model for stationary time series. (English) Zbl 1337.62199 J. Time Ser. Anal. 37, No. 1, 126-142 (2016). MSC: 62M05 62F15 62G05 60G10 PDF BibTeX XML Cite \textit{I. Antoniano-Villalobos} and \textit{S. G. Walker}, J. Time Ser. Anal. 37, No. 1, 126--142 (2016; Zbl 1337.62199) Full Text: DOI
Kozhevnikova, I. A.; Suleymanova, R. A. Estimating parameters of diffusion process with unreachable boundary. (English. Russian original) Zbl 1327.60155 J. Math. Sci., New York 205, No. 1, 74-84 (2015); translation from Statisticheskie Metody Otsenivaniya i Proverki Gipotez 18, 43-59 (2005). MSC: 60J60 62M05 62F12 60H10 60G44 PDF BibTeX XML Cite \textit{I. A. Kozhevnikova} and \textit{R. A. Suleymanova}, J. Math. Sci., New York 205, No. 1, 74--84 (2015; Zbl 1327.60155); translation from Statisticheskie Metody Otsenivaniya i Proverki Gipotez 18, 43--59 (2005) Full Text: DOI
Kuang, Nenghui; Xie, Huantian Sequential maximum likelihood estimation for the hyperbolic diffusion process. (English) Zbl 1319.60158 Methodol. Comput. Appl. Probab. 17, No. 2, 373-381 (2015). MSC: 60J60 62L12 PDF BibTeX XML Cite \textit{N. Kuang} and \textit{H. Xie}, Methodol. Comput. Appl. Probab. 17, No. 2, 373--381 (2015; Zbl 1319.60158) Full Text: DOI
Antoniano-Villalobos, Isadora; Walker, Stephen G. Bayesian consistency for Markov models. (English) Zbl 1317.62041 Sankhyā, Ser. A 77, No. 1, 106-125 (2015). MSC: 62G20 62M05 PDF BibTeX XML Cite \textit{I. Antoniano-Villalobos} and \textit{S. G. Walker}, Sankhyā, Ser. A 77, No. 1, 106--125 (2015; Zbl 1317.62041) Full Text: DOI
Kamatani, Kengo; Uchida, Masayuki Hybrid multi-step estimators for stochastic differential equations based on sampled data. (English) Zbl 1329.62110 Stat. Inference Stoch. Process. 18, No. 2, 177-204 (2015). MSC: 62F12 62M05 60J60 PDF BibTeX XML Cite \textit{K. Kamatani} and \textit{M. Uchida}, Stat. Inference Stoch. Process. 18, No. 2, 177--204 (2015; Zbl 1329.62110) Full Text: DOI
Gu, Wei; Wu, Hulin; Miao, Hongyu; Xue, Hongqi Parameter estimation for a type of nonlinear stochastic models observed with error. (English) Zbl 06984058 Comput. Stat. Data Anal. 79, 113-119 (2014). MSC: 62 PDF BibTeX XML Cite \textit{W. Gu} et al., Comput. Stat. Data Anal. 79, 113--119 (2014; Zbl 06984058) Full Text: DOI
Singer, Hermann Importance sampling for Kolmogorov backward equations. (English) Zbl 1443.62010 AStA, Adv. Stat. Anal. 98, No. 4, 345-369 (2014). MSC: 62-08 62M05 65C05 PDF BibTeX XML Cite \textit{H. Singer}, AStA, Adv. Stat. Anal. 98, No. 4, 345--369 (2014; Zbl 1443.62010) Full Text: DOI
Favetto, Benjamin Parameter estimation by contrast minimization for noisy observations of a diffusion process. (English) Zbl 1304.62110 Statistics 48, No. 6, 1344-1370 (2014). MSC: 62M09 62F12 PDF BibTeX XML Cite \textit{B. Favetto}, Statistics 48, No. 6, 1344--1370 (2014; Zbl 1304.62110) Full Text: DOI
Uchida, Masayuki; Yoshida, Nakahiro Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations. (English) Zbl 1333.62200 Stat. Inference Stoch. Process. 17, No. 2, 181-219 (2014). MSC: 62M05 62F12 62F15 60J60 PDF BibTeX XML Cite \textit{M. Uchida} and \textit{N. Yoshida}, Stat. Inference Stoch. Process. 17, No. 2, 181--219 (2014; Zbl 1333.62200) Full Text: DOI
Hwang, S. Y.; Basawa, I. V.; Choi, M. S.; Lee, S. D. Non-ergodic martingale estimating functions and related asymptotics. (English) Zbl 1291.62165 Statistics 48, No. 3, 487-507 (2014). MSC: 62M10 62M05 60G42 60J80 PDF BibTeX XML Cite \textit{S. Y. Hwang} et al., Statistics 48, No. 3, 487--507 (2014; Zbl 1291.62165) Full Text: DOI
Perninge, Magnus; Söder, Lennart Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation. (English) Zbl 1303.91086 Math. Methods Oper. Res. 79, No. 2, 195-224 (2014). Reviewer: Efstratios Rappos (Aubonne) MSC: 91B74 90C39 60G40 60H30 90B15 93E20 PDF BibTeX XML Cite \textit{M. Perninge} and \textit{L. Söder}, Math. Methods Oper. Res. 79, No. 2, 195--224 (2014; Zbl 1303.91086) Full Text: DOI
Xu, Wei Parameter estimation in two-type continuous-state branching processes with immigration. (English) Zbl 1288.62121 Stat. Probab. Lett. 91, 124-134 (2014). MSC: 62M05 62F12 60F05 60J85 PDF BibTeX XML Cite \textit{W. Xu}, Stat. Probab. Lett. 91, 124--134 (2014; Zbl 1288.62121) Full Text: DOI arXiv
Kitagawa, Hayato; Uchida, Masayuki Adaptive test statistics for ergodic diffusion processes sampled at discrete times. (English) Zbl 1287.62016 J. Stat. Plann. Inference 150, 84-110 (2014). MSC: 62M02 62F05 PDF BibTeX XML Cite \textit{H. Kitagawa} and \textit{M. Uchida}, J. Stat. Plann. Inference 150, 84--110 (2014; Zbl 1287.62016) Full Text: DOI
Mishura, Yuliya Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. (English) Zbl 1331.62116 Stat. Probab. Lett. 86, 24-29 (2014). MSC: 62F12 62M05 60H10 60J60 PDF BibTeX XML Cite \textit{Y. Mishura}, Stat. Probab. Lett. 86, 24--29 (2014; Zbl 1331.62116) Full Text: DOI arXiv
Bladt, Mogens; Sørensen, Michael Simple simulation of diffusion bridges with application to likelihood inference for diffusions. (English) Zbl 1398.60086 Bernoulli 20, No. 2, 645-675 (2014); corrigendum ibid. 27, No. 1, 218-220 (2021). MSC: 60J60 60H35 62M05 PDF BibTeX XML Cite \textit{M. Bladt} and \textit{M. Sørensen}, Bernoulli 20, No. 2, 645--675 (2014; Zbl 1398.60086) Full Text: DOI Euclid arXiv
Forman, Julie Lyng; Sørensen, Michael A transformation approach to modelling multi-modal diffusions. (English) Zbl 1279.62169 J. Stat. Plann. Inference 146, 56-69 (2014). MSC: 62M05 60J70 92C45 62P10 PDF BibTeX XML Cite \textit{J. L. Forman} and \textit{M. Sørensen}, J. Stat. Plann. Inference 146, 56--69 (2014; Zbl 1279.62169) Full Text: DOI
Laurini, Márcio Poletti; Hotta, Luiz Koodi Indirect inference in fractional short-term interest rate diffusions. (English) Zbl 07310457 Math. Comput. Simul. 94, 109-126 (2013). MSC: 62 60 PDF BibTeX XML Cite \textit{M. P. Laurini} and \textit{L. K. Hotta}, Math. Comput. Simul. 94, 109--126 (2013; Zbl 07310457) Full Text: DOI
Ditlevsen, Susanne; Samson, Adeline Introduction to stochastic models in biology. (English) Zbl 1390.92008 Bachar, Mostafa (ed.) et al., Stochastic biomathematical models with applications to neuronal modeling. Berlin: Springer (ISBN 978-3-642-32156-6/pbk; 978-3-642-32157-3/ebook). Lecture Notes in Mathematics 2058, 3-35 (2013). MSC: 92B05 60J20 60J70 60H10 PDF BibTeX XML Cite \textit{S. Ditlevsen} and \textit{A. Samson}, Lect. Notes Math. 2058, 3--35 (2013; Zbl 1390.92008) Full Text: DOI
Maurer, Raimond; Rogalla, Ralph; Siegelin, Ivonne Participating payout life annuities: lessons from Germany. (English) Zbl 1292.91093 Astin Bull. 43, No. 2, 159-187 (2013). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 91G40 91B16 PDF BibTeX XML Cite \textit{R. Maurer} et al., ASTIN Bull. 43, No. 2, 159--187 (2013; Zbl 1292.91093) Full Text: DOI
Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui Goodness-of-fit test for stochastic volatility models. (English) Zbl 1277.62125 J. Multivariate Anal. 116, 473-498 (2013). MSC: 62G10 62G09 62P05 65C60 PDF BibTeX XML Cite \textit{L.-C. Lin} et al., J. Multivariate Anal. 116, 473--498 (2013; Zbl 1277.62125) Full Text: DOI
Li, Chenxu Maximum-likelihood estimation for diffusion processes via closed-form density expansions. (English) Zbl 1273.62196 Ann. Stat. 41, No. 3, 1350-1380 (2013). MSC: 62M05 62F12 60H10 60J60 62H12 65C05 60H30 65C60 PDF BibTeX XML Cite \textit{C. Li}, Ann. Stat. 41, No. 3, 1350--1380 (2013; Zbl 1273.62196) Full Text: DOI Euclid arXiv
Kim, Yongku; Kang, Suk Bok; Berliner, L. Mark Bayesian diffusion process models with time-varying parameters. (English) Zbl 1296.60214 J. Korean Stat. Soc. 41, No. 1, 137-144 (2012). MSC: 60J60 62F15 62M10 62P05 PDF BibTeX XML Cite \textit{Y. Kim} et al., J. Korean Stat. Soc. 41, No. 1, 137--144 (2012; Zbl 1296.60214) Full Text: DOI
Kim, Jiwoon; Sheen, Dongwoo; Shin, Sungwon Option pricing of weather derivatives for Seoul. (English) Zbl 1284.91548 East Asian J. Appl. Math. 2, No. 4, 309-325 (2012). MSC: 91G20 60H15 60J65 PDF BibTeX XML Cite \textit{J. Kim} et al., East Asian J. Appl. Math. 2, No. 4, 309--325 (2012; Zbl 1284.91548) Full Text: DOI
Schiller, Frank; Seidler, Gerold; Wimmer, Maximilian Temperature models for pricing weather derivatives. (English) Zbl 1278.91168 Quant. Finance 12, No. 3, 489-500 (2012). MSC: 91G20 86A10 PDF BibTeX XML Cite \textit{F. Schiller} et al., Quant. Finance 12, No. 3, 489--500 (2012; Zbl 1278.91168) Full Text: DOI
Kan, Xiu; Shu, Huisheng; Che, Yan Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering. (English) Zbl 1264.93235 Math. Probl. Eng. 2012, Article ID 342705, 15 p. (2012). MSC: 93E10 93E11 PDF BibTeX XML Cite \textit{X. Kan} et al., Math. Probl. Eng. 2012, Article ID 342705, 15 p. (2012; Zbl 1264.93235) Full Text: DOI
Wang, Yunyan; Zhang, Lixin; Tang, Mingtian Re-weighted functional estimation of second-order diffusion processes. (English) Zbl 1254.62090 Metrika 75, No. 8, 1129-1151 (2012). MSC: 62M05 62G05 62G20 65C60 PDF BibTeX XML Cite \textit{Y. Wang} et al., Metrika 75, No. 8, 1129--1151 (2012; Zbl 1254.62090) Full Text: DOI
Zhang, Shulin; Song, Peter X.-K.; Shi, Daimin; Zhou, Qian M. Information ratio test for model misspecification on parametric structures in stochastic diffusion models. (English) Zbl 1255.62229 Comput. Stat. Data Anal. 56, No. 12, 3975-3987 (2012). MSC: 62M02 62F40 65C60 PDF BibTeX XML Cite \textit{S. Zhang} et al., Comput. Stat. Data Anal. 56, No. 12, 3975--3987 (2012; Zbl 1255.62229) Full Text: DOI
Bellini, Tiziano; Riani, Marco Robust analysis of default intensity. (English) Zbl 1254.91635 Comput. Stat. Data Anal. 56, No. 11, 3276-3285 (2012). MSC: 91B84 62P05 62M10 PDF BibTeX XML Cite \textit{T. Bellini} and \textit{M. Riani}, Comput. Stat. Data Anal. 56, No. 11, 3276--3285 (2012; Zbl 1254.91635) Full Text: DOI
Wang, Yunyan; Zhang, Lixin; Tang, Mingtian Local \(M\)-estimation for jump-diffusion processes. (English) Zbl 1251.62035 Stat. Probab. Lett. 82, No. 7, 1273-1284 (2012). MSC: 62M05 62F12 60J75 65C60 PDF BibTeX XML Cite \textit{Y. Wang} et al., Stat. Probab. Lett. 82, No. 7, 1273--1284 (2012; Zbl 1251.62035) Full Text: DOI
Uchida, Masayuki; Yoshida, Nakahiro Adaptive estimation of an ergodic diffusion process based on sampled data. (English) Zbl 1243.62113 Stochastic Processes Appl. 122, No. 8, 2885-2924 (2012). MSC: 62M05 62F12 60J60 60H10 65C60 PDF BibTeX XML Cite \textit{M. Uchida} and \textit{N. Yoshida}, Stochastic Processes Appl. 122, No. 8, 2885--2924 (2012; Zbl 1243.62113) Full Text: DOI
Chang, Jinyuan; Chen, Song Xi On the approximate maximum likelihood estimation for diffusion processes. (English) Zbl 1246.62181 Ann. Stat. 39, No. 6, 2820-2851 (2011). MSC: 62M05 62F12 PDF BibTeX XML Cite \textit{J. Chang} and \textit{S. X. Chen}, Ann. Stat. 39, No. 6, 2820--2851 (2011; Zbl 1246.62181) Full Text: DOI Euclid arXiv
Xiao, Weilin; Zhang, Weiguo; Xu, Weidong Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation. (English) Zbl 1225.62116 Appl. Math. Modelling 35, No. 9, 4196-4207 (2011). MSC: 62M05 60G22 60J60 65C50 PDF BibTeX XML Cite \textit{W. Xiao} et al., Appl. Math. Modelling 35, No. 9, 4196--4207 (2011; Zbl 1225.62116) Full Text: DOI
Hayashi, Takaki; Yoshida, Nakahiro Nonsynchronous covariation process and limit theorems. (English) Zbl 1233.60014 Stochastic Processes Appl. 121, No. 10, 2416-2454 (2011). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60F05 60G48 PDF BibTeX XML Cite \textit{T. Hayashi} and \textit{N. Yoshida}, Stochastic Processes Appl. 121, No. 10, 2416--2454 (2011; Zbl 1233.60014) Full Text: DOI
Hubalek, Friedrich; Posedel, Petra Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. (English) Zbl 1217.91209 Quant. Finance 11, No. 6, 917-932 (2011). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{F. Hubalek} and \textit{P. Posedel}, Quant. Finance 11, No. 6, 917--932 (2011; Zbl 1217.91209) Full Text: DOI arXiv
Favetto, Benjamin; Samson, Adeline Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application. (English) Zbl 1224.62032 Scand. J. Stat. 37, No. 2, 200-220 (2010). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62M05 62F12 65C60 PDF BibTeX XML Cite \textit{B. Favetto} and \textit{A. Samson}, Scand. J. Stat. 37, No. 2, 200--220 (2010; Zbl 1224.62032) Full Text: DOI
Paige, Robert; Allen, Edward Closed-form likelihoods for stochastic differential equation growth models. (English. French summary) Zbl 1327.62453 Can. J. Stat. 38, No. 3, 474-487 (2010). MSC: 62M05 60H10 PDF BibTeX XML Cite \textit{R. Paige} and \textit{E. Allen}, Can. J. Stat. 38, No. 3, 474--487 (2010; Zbl 1327.62453) Full Text: DOI
Kalogeropoulos, Konstantinos; Roberts, Gareth O.; Dellaportas, Petros Inference for stochastic volatility models using time change transformations. (English) Zbl 1189.91220 Ann. Stat. 38, No. 2, 784-807 (2010). Reviewer: Thomas Wakefield (Youngstown) MSC: 91G60 65C05 65C60 PDF BibTeX XML Cite \textit{K. Kalogeropoulos} et al., Ann. Stat. 38, No. 2, 784--807 (2010; Zbl 1189.91220) Full Text: DOI arXiv
Leonenko, N. N.; Šuvak, N. Statistical inference for reciprocal gamma diffusion process. (English) Zbl 1177.62101 J. Stat. Plann. Inference 140, No. 1, 30-51 (2010). MSC: 62M05 62M15 62F12 60J60 62M10 PDF BibTeX XML Cite \textit{N. N. Leonenko} and \textit{N. Šuvak}, J. Stat. Plann. Inference 140, No. 1, 30--51 (2010; Zbl 1177.62101) Full Text: DOI
Tang, Cheng Yong; Chen, Song Xi Parameter estimation and bias correction for diffusion processes. (English) Zbl 1429.62370 J. Econom. 149, No. 1, 65-81 (2009). MSC: 62M05 60J60 62F40 62P05 PDF BibTeX XML Cite \textit{C. Y. Tang} and \textit{S. X. Chen}, J. Econom. 149, No. 1, 65--81 (2009; Zbl 1429.62370) Full Text: DOI
Gutiérrez, R.; Gutiérrez-Sánchez, R.; Nafidi, A. Modelling and forecasting vehicle stocks using the trends of stochastic Gompertz diffusion models: the case of Spain. (English) Zbl 1224.62150 Appl. Stoch. Models Bus. Ind. 25, No. 3, 385-405 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 62P30 60J70 PDF BibTeX XML Cite \textit{R. Gutiérrez} et al., Appl. Stoch. Models Bus. Ind. 25, No. 3, 385--405 (2009; Zbl 1224.62150) Full Text: DOI
Rosenkranz, Gerd K. Modeling laboratory data from clinical trials. (English) Zbl 1452.62844 Comput. Stat. Data Anal. 53, No. 3, 812-819 (2009). MSC: 62P10 62M05 62-08 PDF BibTeX XML Cite \textit{G. K. Rosenkranz}, Comput. Stat. Data Anal. 53, No. 3, 812--819 (2009; Zbl 1452.62844) Full Text: DOI
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth Monte Carlo maximum likelihood estimation for discretely observed diffusion processes. (English) Zbl 1169.65004 Ann. Stat. 37, No. 1, 223-245 (2009). Reviewer: Dominique Lepingle (Orléans) MSC: 65C30 62M05 60J60 65C05 60H10 60H35 34F05 PDF BibTeX XML Cite \textit{A. Beskos} et al., Ann. Stat. 37, No. 1, 223--245 (2009; Zbl 1169.65004) Full Text: DOI Euclid arXiv
Markussen, Bo Laplace approximation of transition densities posed as Brownian expectations. (English) Zbl 1156.60054 Stochastic Processes Appl. 119, No. 1, 208-231 (2009). MSC: 60H35 60H10 60H40 47N30 PDF BibTeX XML Cite \textit{B. Markussen}, Stochastic Processes Appl. 119, No. 1, 208--231 (2009; Zbl 1156.60054) Full Text: DOI
Kristensen, Dennis Estimation of partial differential equations with applications in finance. (English) Zbl 1418.62384 J. Econom. 144, No. 2, 392-408 (2008). MSC: 62P05 62M05 62G20 91G20 PDF BibTeX XML Cite \textit{D. Kristensen}, J. Econom. 144, No. 2, 392--408 (2008; Zbl 1418.62384) Full Text: DOI
Zhao, Zhibiao Parametric and nonparametric models and methods in financial econometrics. (English) Zbl 1196.62135 Stat. Surv. 2, 1-42 (2008). MSC: 62P05 62F10 91G70 62G05 62G10 PDF BibTeX XML Cite \textit{Z. Zhao}, Stat. Surv. 2, 1--42 (2008; Zbl 1196.62135) Full Text: DOI
Donnet, Sophie; Samson, Adeline Parametric inference for mixed models defined by stochastic differential equations. (English) Zbl 1182.62164 ESAIM, Probab. Stat. 12, 196-218 (2008). MSC: 62M05 60H10 62F10 62M99 62M09 62L20 62P10 65C60 60J60 92C45 PDF BibTeX XML Cite \textit{S. Donnet} and \textit{A. Samson}, ESAIM, Probab. Stat. 12, 196--218 (2008; Zbl 1182.62164) Full Text: DOI EuDML
Golightly, A.; Wilkinson, D. J. Bayesian inference for nonlinear multivariate diffusion models observed with error. (English) Zbl 1452.62603 Comput. Stat. Data Anal. 52, No. 3, 1674-1693 (2008). MSC: 62M05 60J60 62F15 62-08 PDF BibTeX XML Cite \textit{A. Golightly} and \textit{D. J. Wilkinson}, Comput. Stat. Data Anal. 52, No. 3, 1674--1693 (2008; Zbl 1452.62603) Full Text: DOI
Maggioni, F.; Vespucci, M. T.; Allevi, E.; Bertocchi, M. I.; Innorta, M. A two-stage stochastic optimization model for a gas sale retailer. (English) Zbl 1154.90517 Kybernetika 44, No. 2, 277-296 (2008). MSC: 90B50 90C15 46N10 PDF BibTeX XML Cite \textit{F. Maggioni} et al., Kybernetika 44, No. 2, 277--296 (2008; Zbl 1154.90517) Full Text: Link EuDML
Zhang, Caiya; Lin, Zhengyan On asymptotic properties of the parameter estimator for a type of SPDE. (English) Zbl 1146.62071 J. Stat. Plann. Inference 138, No. 12, 4033-4040 (2008). MSC: 62M40 62F12 60H15 PDF BibTeX XML Cite \textit{C. Zhang} and \textit{Z. Lin}, J. Stat. Plann. Inference 138, No. 12, 4033--4040 (2008; Zbl 1146.62071) Full Text: DOI
Uchida, Masayuki Approximate martingale estimating functions for stochastic differential equations with small noises. (English) Zbl 1145.62065 Stochastic Processes Appl. 118, No. 9, 1706-1721 (2008). MSC: 62M05 62F12 60H10 60J60 PDF BibTeX XML Cite \textit{M. Uchida}, Stochastic Processes Appl. 118, No. 9, 1706--1721 (2008; Zbl 1145.62065) Full Text: DOI
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard Semiparametric diffusion estimation and application to a stock market index. (English) Zbl 1140.91463 Quant. Finance 8, No. 1, 81-92 (2008). MSC: 91B82 PDF BibTeX XML Cite \textit{W. Härdle} et al., Quant. Finance 8, No. 1, 81--92 (2008; Zbl 1140.91463) Full Text: DOI
Gilioli, Gianni; Pasquali, Sara; Ruggeri, Fabrizio Bayesian inference for functional response in a stochastic predator-prey system. (English) Zbl 1139.92026 Bull. Math. Biol. 70, No. 2, 358-381 (2008). MSC: 92D40 60H30 62F15 65C40 62P10 PDF BibTeX XML Cite \textit{G. Gilioli} et al., Bull. Math. Biol. 70, No. 2, 358--381 (2008; Zbl 1139.92026) Full Text: DOI
Lijoi, Antonio; Prünster, Igor; Walker, Stephen G. Bayesian consistency for stationary models. (English) Zbl 1237.62033 Econom. Theory 23, No. 4, 749-759 (2007). MSC: 62F15 62M05 62F12 PDF BibTeX XML Cite \textit{A. Lijoi} et al., Econom. Theory 23, No. 4, 749--759 (2007; Zbl 1237.62033) Full Text: DOI
Xie, Z.; Kulasiri, D.; Samarasinghe, S.; Rajanayaka, C. The estimation of parameters for stochastic differential equations using neural networks. (English) Zbl 1202.34035 Inverse Probl. Sci. Eng. 15, No. 6, 629-641 (2007). MSC: 34A55 60H10 92B20 PDF BibTeX XML Cite \textit{Z. Xie} et al., Inverse Probl. Sci. Eng. 15, No. 6, 629--641 (2007; Zbl 1202.34035) Full Text: DOI
Lindström, Erik Estimating parameters in diffusion processes using an approximate maximum likelihood approach. (English) Zbl 1136.62366 Ann. Oper. Res. 151, 269-288 (2007). MSC: 62M05 65C60 60H10 60J70 60H15 65C05 PDF BibTeX XML Cite \textit{E. Lindström}, Ann. Oper. Res. 151, 269--288 (2007; Zbl 1136.62366) Full Text: DOI
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Yves Penalized nonparametric mean square estimation of the coefficients of diffusion processes. (English) Zbl 1127.62067 Bernoulli 13, No. 2, 514-543 (2007). MSC: 62M05 62G05 65C60 PDF BibTeX XML Cite \textit{F. Comte} et al., Bernoulli 13, No. 2, 514--543 (2007; Zbl 1127.62067) Full Text: DOI arXiv
Bishwal, Jaya P. N. A new estimating function for discretely sampled diffusions. (English) Zbl 1164.62035 Random Oper. Stoch. Equ. 15, No. 1, 65-88 (2007). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 62M05 62F12 60H05 60H10 60H30 PDF BibTeX XML Cite \textit{J. P. N. Bishwal}, Random Oper. Stoch. Equ. 15, No. 1, 65--88 (2007; Zbl 1164.62035) Full Text: DOI
Calderon, C. P. Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics. (English) Zbl 1149.82021 Mol. Simul. 33, No. 9-10, 713-731 (2007). MSC: 82C31 82C80 PDF BibTeX XML Cite \textit{C. P. Calderon}, Mol. Simul. 33, No. 9--10, 713--731 (2007; Zbl 1149.82021) Full Text: DOI
Tudor, Ciprian A.; Viens, Frederi G. Statistical aspects of the fractional stochastic calculus. (English) Zbl 1194.62097 Ann. Stat. 35, No. 3, 1183-1212 (2007). MSC: 62M05 62M09 62H05 60H30 60H10 PDF BibTeX XML Cite \textit{C. A. Tudor} and \textit{F. G. Viens}, Ann. Stat. 35, No. 3, 1183--1212 (2007; Zbl 1194.62097) Full Text: DOI arXiv
Detemple, Jérôme; Garcia, René; Rindisbacher, Marcel Asymptotic properties of Monte Carlo estimators of diffusion processes. (English) Zbl 1418.62287 J. Econom. 134, No. 1, 1-68 (2006). MSC: 62M05 62F12 60H10 60J60 65C05 PDF BibTeX XML Cite \textit{J. Detemple} et al., J. Econom. 134, No. 1, 1--68 (2006; Zbl 1418.62287) Full Text: DOI
Singer, Hermann Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models. (English) Zbl 1142.65309 Comput. Stat. 21, No. 3-4, 385-397 (2006). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 65C30 60H10 60H35 91B24 PDF BibTeX XML Cite \textit{H. Singer}, Comput. Stat. 21, No. 3--4, 385--397 (2006; Zbl 1142.65309) Full Text: DOI
Picchini, Umberto; Ditlevsen, Susanne; De Gaetano, Andrea Modeling the euglycemic hyperinsulinemic clamp by stochastic differential equations. (English) Zbl 1113.92039 J. Math. Biol. 53, No. 5, 771-796 (2006). MSC: 92C50 60H10 65L06 37N25 62P10 34F05 PDF BibTeX XML Cite \textit{U. Picchini} et al., J. Math. Biol. 53, No. 5, 771--796 (2006; Zbl 1113.92039) Full Text: DOI
Gutiérrez, R.; Gutiérrez-Sánchez, R.; Nafidi, A.; Ramos, E. A new stochastic Gompertz diffusion process with threshold parameter: computational aspects and applications. (English) Zbl 1109.65012 Appl. Math. Comput. 183, No. 2, 738-747 (2006). MSC: 65C50 60J60 62F10 PDF BibTeX XML Cite \textit{R. Gutiérrez} et al., Appl. Math. Comput. 183, No. 2, 738--747 (2006; Zbl 1109.65012) Full Text: DOI
Shimizu, Yasutaka; Yoshida, Nakahiro Estimation of parameters for diffusion processes with jumps from discrete observations. (English) Zbl 1125.62089 Stat. Inference Stoch. Process. 9, No. 3, 227-277 (2006). MSC: 62M05 62F12 PDF BibTeX XML Cite \textit{Y. Shimizu} and \textit{N. Yoshida}, Stat. Inference Stoch. Process. 9, No. 3, 227--277 (2006; Zbl 1125.62089) Full Text: DOI
Jimenez, J. C.; Biscay, R. J.; Ozaki, T. Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview. (English) Zbl 1134.91430 Asia-Pac. Financ. Mark. 12, No. 2, 109-141 (2005). MSC: 91B28 91B62 91B70 PDF BibTeX XML Cite \textit{J. C. Jimenez} et al., Asia-Pac. Financ. Mark. 12, No. 2, 109--141 (2005; Zbl 1134.91430) Full Text: DOI
Ditlevsen, Susanne; Yip, Kay-Pong; Holstein-Rathlou, Niels-Henrik Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron. (English) Zbl 1063.92019 Math. Biosci. 194, No. 1, 49-69 (2005). MSC: 92C35 60H30 62P10 PDF BibTeX XML Cite \textit{S. Ditlevsen} et al., Math. Biosci. 194, No. 1, 49--69 (2005; Zbl 1063.92019) Full Text: DOI
Gutiérrez, R.; Gutiérrez-Sanchez, R.; Nafidi, A.; Román, P.; Torres, F. Inference in Gompertz-type nonhomogeneous stochastic systems by means of discrete sampling. (English) Zbl 1059.62087 Cybern. Syst. 36, No. 2, 203-216 (2005). MSC: 62M05 62P20 PDF BibTeX XML Cite \textit{R. Gutiérrez} et al., Cybern. Syst. 36, No. 2, 203--216 (2005; Zbl 1059.62087) Full Text: DOI
Tse, Y. K.; Zhang, Xibin; Yu, Jun Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method. (English) Zbl 1409.62180 Quant. Finance 4, No. 2, 158-169 (2004). MSC: 62M10 62P05 62F15 91B84 PDF BibTeX XML Cite \textit{Y. K. Tse} et al., Quant. Finance 4, No. 2, 158--169 (2004; Zbl 1409.62180) Full Text: DOI
Voss, Henning U.; Timmer, Jens; Kurths, Jürgen Nonlinear dynamical system identification from uncertain and indirect measurements. (English) Zbl 1129.93545 Int. J. Bifurcation Chaos Appl. Sci. Eng. 14, No. 6, 1905-1933 (2004). MSC: 93E12 37M10 62F10 62M10 93E10 PDF BibTeX XML Cite \textit{H. U. Voss} et al., Int. J. Bifurcation Chaos Appl. Sci. Eng. 14, No. 6, 1905--1933 (2004; Zbl 1129.93545) Full Text: DOI
Kelly, Leah; Platen, Eckhard; Sørensen, Michael Estimation for discretely observed diffusions using transform functions. (English) Zbl 1049.62092 J. Appl. Probab. 41A, Spec. Iss., 99-118 (2004). MSC: 62M05 62F12 65C60 PDF BibTeX XML Cite \textit{L. Kelly} et al., J. Appl. Probab. 41A, 99--118 (2004; Zbl 1049.62092) Full Text: DOI
Penev, Spiridon; Peng, Hanxiang; Schick, Anton; Wefelmeyer, Wolfgang Efficient estimators for functionals of Markov chains with parametric marginals. (English) Zbl 1102.62087 Stat. Probab. Lett. 66, No. 3, 335-345 (2004). MSC: 62M05 62F10 PDF BibTeX XML Cite \textit{S. Penev} et al., Stat. Probab. Lett. 66, No. 3, 335--345 (2004; Zbl 1102.62087) Full Text: DOI
Hult, Henrik Approximating some Volterra type stochastic integrals with applications to parameter estimation. (English) Zbl 1075.60532 Stochastic Processes Appl. 105, No. 1, 1-32 (2003). MSC: 60H07 28C20 60H10 60H20 PDF BibTeX XML Cite \textit{H. Hult}, Stochastic Processes Appl. 105, No. 1, 1--32 (2003; Zbl 1075.60532) Full Text: DOI
Jimenez, J. C.; Ozaki, T. Local linearization filters for nonlinear continuous-discrete state space models with multiplicative noise. (English) Zbl 1048.93090 Int. J. Control 76, No. 12, 1159-1170 (2003). MSC: 93E11 93B18 PDF BibTeX XML Cite \textit{J. C. Jimenez} and \textit{T. Ozaki}, Int. J. Control 76, No. 12, 1159--1170 (2003; Zbl 1048.93090) Full Text: DOI
Mykland, Per Aslak Financial options and statistical prediction intervals. (English) Zbl 1042.62094 Ann. Stat. 31, No. 5, 1413-1438 (2003). MSC: 62P05 62F25 62M99 62G15 60G44 PDF BibTeX XML Cite \textit{P. A. Mykland}, Ann. Stat. 31, No. 5, 1413--1438 (2003; Zbl 1042.62094) Full Text: DOI
Alaton, Peter; Djehiche, Boualem; Stillberger, David On modelling and pricing weather derivatives. (English) Zbl 1013.91036 Appl. Math. Finance 9, No. 1, 1-20 (2002). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Alaton} et al., Appl. Math. Finance 9, No. 1, 1--20 (2002; Zbl 1013.91036) Full Text: DOI
Gloter, Arnaud Parameter estimation for a discrete sampling of an integrated Ornstein-Uhlenbeck process. (English) Zbl 0980.62072 Statistics 35, No. 3, 225-243 (2001). MSC: 62M05 62F12 62M10 65C60 PDF BibTeX XML Cite \textit{A. Gloter}, Statistics 35, No. 3, 225--243 (2001; Zbl 0980.62072) Full Text: DOI
Towhidi, M.; Behboodian, J. Bayesian multivariate normal analysis under the extended reflected normal loss function. (English) Zbl 0979.62014 Statistics 35, No. 3, 215-223 (2001). MSC: 62F15 62H12 62C15 PDF BibTeX XML Cite \textit{M. Towhidi} and \textit{J. Behboodian}, Statistics 35, No. 3, 215--223 (2001; Zbl 0979.62014) Full Text: DOI