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  • Search: subject:"Continuous time Markov processes"
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Continuous time Markov processes 1 diffusions 1 discrete time sampling 1 interest rate models 1 stochastic algorithms 1
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Undetermined 1
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Londoño, Jaime A. 1
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EconWPA 1
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Econometrics 1
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PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME
Londoño, Jaime A. - EconWPA - 2003
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved....
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