Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion
ESAIM: Probability and Statistics, Tome 4 (2000), pp. 233-258. 
@article{PS_2000__4__233_0,
     author = {Souchet Samos, Sandie},
     title = {Sch\'emas de discr\'etisation anticipatifs et estimation du param\`etre de d\'erive d'une diffusion},
     journal = {ESAIM: Probability and Statistics},
     pages = {233--258},
     publisher = {EDP-Sciences},
     volume = {4},
     year = {2000},
     mrnumber = {1808333},
     zbl = {0997.62063},
     language = {fr},
     url = {http://www.numdam.org/item/PS_2000__4__233_0/}
}
TY  - JOUR
AU  - Souchet Samos, Sandie
TI  - Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion
JO  - ESAIM: Probability and Statistics
PY  - 2000
SP  - 233
EP  - 258
VL  - 4
PB  - EDP-Sciences
UR  - http://www.numdam.org/item/PS_2000__4__233_0/
LA  - fr
ID  - PS_2000__4__233_0
ER  - 
%0 Journal Article
%A Souchet Samos, Sandie
%T Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion
%J ESAIM: Probability and Statistics
%D 2000
%P 233-258
%V 4
%I EDP-Sciences
%U http://www.numdam.org/item/PS_2000__4__233_0/
%G fr
%F PS_2000__4__233_0
Souchet Samos, Sandie. Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion. ESAIM: Probability and Statistics, Tome 4 (2000), pp. 233-258. http://www.numdam.org/item/PS_2000__4__233_0/

[1] A.R. Bergstrom, Statistical inference in Continuous Time Series, in Statistical inference in Continuons Time Economic Models, Bergstrom, Ed., North Holland, Amsterdam ( 1976).

[2] B.M. Bibby et M. Sorensen, Martingale Estimation Functions for Discretely Observed Diffusion Processes. Bernoulli 1 ( 1995) 17-39. | MR | Zbl

[3] D. Dacunha-Castelle et M. Duflo, Probabilité et Statistiques. Tome 2, 2e Ed. Masson ( 1993). | MR | Zbl

[4] D. Dacunha-Castelle et D. Florens-Zmirou, Estimation of the coefficient of a diffusion from discrete observations. Stochastics 19 ( 1986) 263-284. | MR | Zbl

[5] D. Florens-Zmirou, Approximate discrete schemes for statistics of diffusion processes. Statistics 20 ( 1989) 547-557. | MR | Zbl

[6] C. Gourieroux et A. Monfort, Statistique et Modèles Économétriques. Tome 1. Economica.

[7] L. Hansen, Large Sample Properies of Generalized Method of Moments Estimators. Econometrica 50 ( 1982) 1029-1054. | MR | Zbl

[8] L. Hansen et K. Singleton, Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. Econometrica 50 ( 1982) 1269-1286. | MR | Zbl

[9] I. Karatzas et S.E. Shreve, Brownian Motion and Stochastic Calculus, 2nd Ed. Springer ( 1996). | MR | Zbl

[10] M. Kessler, Estimation of an ergodic diffusion from discrete observations. Scand. J. Stat. 24 ( 1997) 211-229. | MR | Zbl

[11] M. Kessler, Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process. Research Reports 336, Department of theoretical statistics, University of Aarhus ( 1995).

[12] M. Kessler et M. Sorensen, Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process. Research Reports 332, Department of theoretical statistics, University of Aarhus ( 1995).

[13] P.E. Kloeden et E. Platen, Numerical Solution of Stochastic Differential Equations. Springer ( 1995). | MR | Zbl

[14] Yu. A. Kutoyants, Parameter estimation for stochastic processes. Heldermann Verlag, Berlin, Research and Exposition in Math. 6 ( 1984). | MR | Zbl

[15] R.S. Liptser et A.N. Shiryaev, Statistics of random processes. Tomes 1, 2. Springer-Verlag ( 1977). | Zbl

[16] W.H. Press, S.A. Teukolskey, W.T. Vetterling et B.P. Flannery, Numerical Recipes in C, 2nd Ed. Cambridge University Press, 132-133. | Zbl

[17] B.L.S. Prakasa-Rao, Asymptotic theory for non linear least squares estimator for diffusion proceses. Math. Operationsforsch. Statist Ser. Berlin 14 ( 1983) 195-209. | MR | Zbl

[18] A.R. Pedersen, Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes. Bernoulli 1 ( 1995) 257-279. | MR | Zbl

[19] A.R. Pedersen, A new approch to maximum likelihood estimation for stochastic differential equations based on discrete observations. Scand. J. Statist. 22 ( 1995) 55-71. | MR | Zbl

[20] J.D. Sargan, Some discrete approximations to continuous times stochastics models, in Statistical inference in Continuous Time Economic Models. Bergstrom, Ed., North Holand, Amsterdam ( 1976) 27-80. | Zbl

[21] M. Sorensen, Estimating functions for discretely observed diffusions: A review. Research Reports 348, Department of theoreical statistics, University of Aarhus ( 1996). | MR | Zbl

[22] N. Yoshida, Estimation for diffusion processes from discrete observations. J. Multivariate Anal. 41 ( 1992) 220-242. | MR | Zbl