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math.ST2020
Prediction-based estimation for diffusion models with high-frequency data
Emil S. Jørgensen, Michael Sørensen
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with…
math.ST2013★ 17 cited
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Uwe Küchler, Michael Sørensen
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, w…