Parametric Estimation of Diffusion Processes: A Review and Comparative Study
This paper provides an in-depth review about parametric estimation methods for stationary stochastic differential equations (SDEs) driven by Wiener noise with discrete time observations. The short-term interest rate dynamics are commonly described by continuous-time diffusion processes, whose parame...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-04-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/8/859 |