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math.ST2023
Parameter Inference for Hypo-Elliptic Diffusions under a Weak Design Condition
Yuga Iguchi, Alexandros Beskos
We address the problem of parameter estimation for degenerate diffusion processes defined via the solution of Stochastic Differential Equations (SDEs) with diffusion matrix that is…
math.ST2023★ 5 cited
Parameter Inference for Degenerate Diffusion Processes
Yuga Iguchi, Alexandros Beskos, Matthew Graham
We study parametric inference for ergodic diffusion processes with a degenerate diffusion matrix. Existing research focuses on a particular class of hypo-elliptic SDEs, with compon…