Classical method of moments for partially and discretely observed ergodic models

Hiroki Masuda

doi:10.1023/B:SISP.0000049120.83388.89

Classical method of moments for partially and discretely observed ergodic models

Hiroki Masuda

研究成果: ジャーナルへの寄稿 › 学術誌 › 査読

3 被引用数 (Scopus)

抄録

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.

本文言語	英語
ページ（範囲）	25-50
ページ数	26
ジャーナル	Statistical Inference for Stochastic Processes
巻	8
号	1
DOI	https://doi.org/10.1023/B:SISP.0000049120.83388.89
出版ステータス	出版済み - 2005

!!!All Science Journal Classification (ASJC) codes

統計学および確率

文献へのアクセス

10.1023/B:SISP.0000049120.83388.89

他のファイルとリンク

引用スタイル

@article{99a1ced82026487695a9ebccd4011bce,

title = "Classical method of moments for partially and discretely observed ergodic models",

abstract = "We discuss the method of moments for a partially and discretely observed model driven by a time-homogeneous L{\'e}vy 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.",

author = "Hiroki Masuda",

year = "2005",

doi = "10.1023/B:SISP.0000049120.83388.89",

language = "English",

volume = "8",

pages = "25--50",

journal = "Statistical Inference for Stochastic Processes",

issn = "1387-0874",

publisher = "Springer Science and Business Media B.V.",

number = "1",

}

TY - JOUR

T1 - Classical method of moments for partially and discretely observed ergodic models

AU - Masuda, Hiroki

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/18244403155

UR - https://www.scopus.com/pages/publications/18244403155#tab=citedBy

U2 - 10.1023/B:SISP.0000049120.83388.89

DO - 10.1023/B:SISP.0000049120.83388.89

M3 - Article

AN - SCOPUS:18244403155

SN - 1387-0874

VL - 8

SP - 25

EP - 50

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

IS - 1

ER -

Classical method of moments for partially and discretely observed ergodic models

抄録

!!!All Science Journal Classification (ASJC) codes

文献へのアクセス

他のファイルとリンク

フィンガープリント

引用スタイル