On estimating the diffusion coefficient-Reference-Cited by-同舟云学术

On estimating the diffusion coefficient

Published:1987-03 Issue:1 Volume:24 Page:105-114
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Dohnal Gejza

Abstract

Random processes of the diffusion type have the property that microscopic fluctuations of the trajectory make possible the identification of certain statistical parameters from one continuous observation. The paper deals with the construction of parameter estimates when observations are made at discrete but very dense time points.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference11 articles.

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