Prediction-based estimating functions: Review and new developments

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Standard

Prediction-based estimating functions: Review and new developments. / Sørensen, Michael.

I: Brazilian Journal of Probability and Statistics, Bind 25, Nr. 3, 2011, s. 362-391.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Sørensen, M 2011, 'Prediction-based estimating functions: Review and new developments', Brazilian Journal of Probability and Statistics, bind 25, nr. 3, s. 362-391.

APA

Sørensen, M. (2011). Prediction-based estimating functions: Review and new developments. Brazilian Journal of Probability and Statistics, 25(3), 362-391.

Vancouver

Sørensen M. Prediction-based estimating functions: Review and new developments. Brazilian Journal of Probability and Statistics. 2011;25(3):362-391.

Author

Sørensen, Michael. / Prediction-based estimating functions: Review and new developments. I: Brazilian Journal of Probability and Statistics. 2011 ; Bind 25, Nr. 3. s. 362-391.

Bibtex

@article{549aceb06fe046f3adcff6be9b2e35e5,
title = "Prediction-based estimating functions: Review and new developments",
abstract = "The general theory of prediction-based estimating functions for stochastic process models is reviewed and extended. Particular attention is given to optimal estimation, asymptotic theory and Gaussian processes. Several examples of applications are presented. In particular, partial observation of a system of stochastic differential equations is discussed. This includes diffusions observed with measurement errors, integrated diffusions, stochastic volatility models, and hypoelliptic stochastic differential equations. The Pearson diffusions, for which explicit optimal prediction-based estimating functions can be found, are briefly presented. ",
author = "Michael S{\o}rensen",
year = "2011",
language = "English",
volume = "25",
pages = "362--391",
journal = "Brazilian Journal of Probability and Statistics",
issn = "0103-0752",
publisher = "Associacao Brasileira de Estatistica",
number = "3",

}

RIS

TY - JOUR

T1 - Prediction-based estimating functions: Review and new developments

AU - Sørensen, Michael

PY - 2011

Y1 - 2011

N2 - The general theory of prediction-based estimating functions for stochastic process models is reviewed and extended. Particular attention is given to optimal estimation, asymptotic theory and Gaussian processes. Several examples of applications are presented. In particular, partial observation of a system of stochastic differential equations is discussed. This includes diffusions observed with measurement errors, integrated diffusions, stochastic volatility models, and hypoelliptic stochastic differential equations. The Pearson diffusions, for which explicit optimal prediction-based estimating functions can be found, are briefly presented.

AB - The general theory of prediction-based estimating functions for stochastic process models is reviewed and extended. Particular attention is given to optimal estimation, asymptotic theory and Gaussian processes. Several examples of applications are presented. In particular, partial observation of a system of stochastic differential equations is discussed. This includes diffusions observed with measurement errors, integrated diffusions, stochastic volatility models, and hypoelliptic stochastic differential equations. The Pearson diffusions, for which explicit optimal prediction-based estimating functions can be found, are briefly presented.

M3 - Journal article

VL - 25

SP - 362

EP - 391

JO - Brazilian Journal of Probability and Statistics

JF - Brazilian Journal of Probability and Statistics

SN - 0103-0752

IS - 3

ER -

ID: 34253429