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math.ST2026
Prediction-based inference for integrated diffusions with high-frequency data
Emil S. Jørgensen, Michael Sørensen
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data…
math.ST2024
Efficient estimation for ergodic diffusion processes sampled at high frequency
Michael Sørensen
A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in…