Parameter estimation in diffusion models with low regularity coefficients
Statistics Theory
2021-03-12 v1 Statistics Theory
Abstract
The article considers parameter estimation constructing such as quasi-maximum likelyhood estimation and one step estimation in statistical models generated by solution of stochastic differential equation. It has been developed a software for parameter estimating and has been presented correspondent testing and comparing.
Cite
@article{arxiv.2103.06323,
title = {Parameter estimation in diffusion models with low regularity coefficients},
author = {Dmytro Ivanenko and Rostyslav Pogorielov},
journal= {arXiv preprint arXiv:2103.06323},
year = {2021}
}