Classical method of moments for partially and discretely observed ergodic models

Hiroki Masuda

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    Abstract

    We discuss the method of moments for a partially and discretely observed model driven by a time-homogeneous Lévy process. We suppose that the unobserved process is an ε-Markov process and that the data, which comes from another process, are available only at regularly spaced time points. Stochastic differential equations are particularly treated among many other possible models. Some illustrative examples are presented with simulations.

    Original languageEnglish
    Pages (from-to)25-50
    Number of pages26
    JournalStatistical Inference for Stochastic Processes
    Volume8
    Issue number1
    DOIs
    Publication statusPublished - 2005

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability

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