60 citations · 230 across the 10 of their papers we have counts for
3 papers · 1 filter
A review of asymptotic theory of estimating functions
Jean Jacod, Michael Sørensen
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uni…
Estimating functions for jump-diffusions
Nina Munkholt Jakobsen, Michael Sørensen
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go…
Langevin diffusions on the torus: estimation and applications
Eduardo García-Portugués, Michael Sørensen, Kanti V. Mardia +1
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to…