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~isPartOf:"Statistical Inference for Stochastic Processes"
~subject:"continuous time"
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continuous time
diffusion processes
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Almost periodic covariance
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Asymptotic normality
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Bayesian estimator
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Compound Poisson process
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Consistent estimator
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Continuous time hidden Markov models
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Continuous time process
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Continuous-time diffusion
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Primary 62G30
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Spectral covariance
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Stochastic delay differential equation
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application to economics
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asymptotic variance
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bandwidth selection
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cointegration
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continuous time finance
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continuous time stochastic process
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dependent data
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derivatives pricing
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discretely sampled continuous time Markov models
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identification
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idiosyncratic risk
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kernel estimate
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likelihood function
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martingale estimating functions
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matrix exponential
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nonparametric density estimation
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Kessler, M.
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Rahbek, A.
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Sköld, M.
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Statistical Inference for Stochastic Processes
CESifo Working Paper
4
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
Kessler, M.
;
Rahbek, A.
- In:
Statistical Inference for Stochastic Processes
7
(
2004
)
2
,
pp. 137-151
Persistent link: https://www.econbiz.de/10005616066
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2
The Asymptotic Variance of the
Continuous-Time
Kernel Estimator with Applications to Bandwidth Selection
Sköld, M.
- In:
Statistical Inference for Stochastic Processes
4
(
2001
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10005616064
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