On the estimation in a class of diffusion-type processes. Aplication for diffusion branching processes.

Molina Fernández, Manuel, and Hermoso Carazo, Aurora. "On the estimation in a class of diffusion-type processes. Aplication for diffusion branching processes.." Extracta Mathematicae 5.3 (1990): 109-111. <http://eudml.org/doc/39882>.

@article{MolinaFernández1990,
abstract = {In this work a family of stochastic differential equations whose solutions are multidimensional diffusion-type (non necessarily markovian) processes is considered, and the estimation of a parametric vector θ which relates the coefficients is studied. The conditions for the existence of the likelihood function are proved and the estimator is obtained by continuously observing the process. An application for Diffusion Branching Processes is given. This problem has been studied in some special cases by Brown and Hewitt (1975), Liptser and Shiryayev (1978) and Sorensen (1983).},
author = {Molina Fernández, Manuel, Hermoso Carazo, Aurora},
journal = {Extracta Mathematicae},
keywords = {Ecuaciones diferenciales estocásticas; Inferencia estadística; Proceso de ramificación; Proceso de difusión; maximum likelihood estimator; stochastic differential equation},
language = {eng},
number = {3},
pages = {109-111},
title = {On the estimation in a class of diffusion-type processes. Aplication for diffusion branching processes.},
url = {http://eudml.org/doc/39882},
volume = {5},
year = {1990},
}

TY - JOUR
AU - Molina Fernández, Manuel
AU - Hermoso Carazo, Aurora
TI - On the estimation in a class of diffusion-type processes. Aplication for diffusion branching processes.
JO - Extracta Mathematicae
PY - 1990
VL - 5
IS - 3
SP - 109
EP - 111
AB - In this work a family of stochastic differential equations whose solutions are multidimensional diffusion-type (non necessarily markovian) processes is considered, and the estimation of a parametric vector θ which relates the coefficients is studied. The conditions for the existence of the likelihood function are proved and the estimator is obtained by continuously observing the process. An application for Diffusion Branching Processes is given. This problem has been studied in some special cases by Brown and Hewitt (1975), Liptser and Shiryayev (1978) and Sorensen (1983).
LA - eng
KW - Ecuaciones diferenciales estocásticas; Inferencia estadística; Proceso de ramificación; Proceso de difusión; maximum likelihood estimator; stochastic differential equation
UR - http://eudml.org/doc/39882
ER -