Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 소병수 | - |
dc.date.accessioned | 2018-05-30T08:14:14Z | - |
dc.date.available | 2018-05-30T08:14:14Z | - |
dc.date.issued | 2005 | - |
dc.identifier.issn | 0020-3157 | - |
dc.identifier.other | OAK-3131 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/243564 | - |
dc.description.abstract | We consider the problem of parametric inference from continuous sample paths of the diffusion processes {x(t)} generated by the system of possibly nonstationary and/or nonlinear Ito stochastic differential equations. We propose a new instrumental variable estimator of the parameter whose pivotal statistic has a Gaussian distribution for all possible values of parameter. The new estimator enables us to construct exact level-α confidence intervals and tests for the parameter in the possibly non-stationary and/or nonlinear diffusion processes. Applications to several non-stationary and/or nonlinear diffusion processes are considered as examples. ©2005 The Institute of Statistical Mathematics. | - |
dc.language | English | - |
dc.title | A new instrumental variable estimation for diffusion processes | - |
dc.type | Article | - |
dc.relation.issue | 4 | - |
dc.relation.volume | 57 | - |
dc.relation.index | SCIE | - |
dc.relation.index | SCOPUS | - |
dc.relation.startpage | 733 | - |
dc.relation.lastpage | 745 | - |
dc.relation.journaltitle | Annals of the Institute of Statistical Mathematics | - |
dc.identifier.doi | 10.1007/BF02915435 | - |
dc.identifier.wosid | WOS:000234803800007 | - |
dc.identifier.scopusid | 2-s2.0-33845589975 | - |
dc.author.google | So B.S. | - |
dc.contributor.scopusid | 소병수(7005199584) | - |
dc.date.modifydate | 20211102105704 | - |