Parametric estimation for partially hidden diffusion processes sampled at discrete times

  • Iacus S M, Yoshida N
  • Published 2007

Abstract

For a one dimensional diffusion process X = {X(t) ; 0 ≤ t ≤ T }, we suppose that X(t) is hidden if it is below some fixed and known threshold τ , but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is to estimate finite dimensional parameter in both drift and diffusion coefficients under a… (More)

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