Estimation paramétrique d'un processus de diffusion avec retards

Yu. A. Kutoyants; T. Mourid; D. Bosq

Annales de l'I.H.P. Probabilités et statistiques (1992)

  • Volume: 28, Issue: 1, page 95-106
  • ISSN: 0246-0203

How to cite

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Kutoyants, Yu. A., Mourid, T., and Bosq, D.. "Estimation paramétrique d'un processus de diffusion avec retards." Annales de l'I.H.P. Probabilités et statistiques 28.1 (1992): 95-106. <http://eudml.org/doc/77426>.

@article{Kutoyants1992,
author = {Kutoyants, Yu. A., Mourid, T., Bosq, D.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {autoregressive process; convergence; minimax bound; diffusion process with delays; continuous-time stochastic process; asymptotic properties of the likelihood process},
language = {fre},
number = {1},
pages = {95-106},
publisher = {Gauthier-Villars},
title = {Estimation paramétrique d'un processus de diffusion avec retards},
url = {http://eudml.org/doc/77426},
volume = {28},
year = {1992},
}

TY - JOUR
AU - Kutoyants, Yu. A.
AU - Mourid, T.
AU - Bosq, D.
TI - Estimation paramétrique d'un processus de diffusion avec retards
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1992
PB - Gauthier-Villars
VL - 28
IS - 1
SP - 95
EP - 106
LA - fre
KW - autoregressive process; convergence; minimax bound; diffusion process with delays; continuous-time stochastic process; asymptotic properties of the likelihood process
UR - http://eudml.org/doc/77426
ER -

References

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  1. [1] J. Hajek, Local Asymptotic Minimax and Admissibility in Estimation, Proceedings of the sixth Berkeley Symposium on Math. Statist. and Proba., Univ. Calif. Press, Berkeley, vol. 1, 1972, p. 175-194. Zbl0281.62010MR400513
  2. [2] I.A. Ibragimov et R.Z. Hasminski, Statistical Estimation: Asymptotic Theory, Springer, New York, 1981. Zbl0467.62026MR620321
  3. [31] Yu.A. Kutoyants, Parameter Estimation for Stochastic Process, Berlin, Heldermann, 1984. Zbl0542.62073MR777685
  4. [32] Yu.A. Kutoyants, An Example of Estimating a Parameter of a Nondifferentiable Drift, Theory Proba. Appl., vol. 33, n° 1, 1988, p. 175-179. Zbl0665.62087MR940007
  5. [4] R.S. Liptzer et A.N. Shiryaev, Statistics of Random Processes, vol. I, Springer, New York, 1977. Zbl0364.60004
  6. [5] M.B. Priestley, Spectral Analysis and Times Series, vol. 1, Academic Press, 1981. Zbl0537.62075MR628735
  7. [6] D.G. Korenevsky, Stability of Dynamical Systems Under Random Perturbation of Parameters, Algebric Criteries, Kiev, Naukova Dumka., 1989 (en russe). Zbl0769.93081MR1038035

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