Population Processes Sampled at Random Times
نویسندگان
چکیده
منابع مشابه
Parametric Estimation of Diffusion Processes Sampled at First Exit Times
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved. The results are applied to two examples from the financial literature; viz., Cox-Ingersoll-Ross’ mod...
متن کاملTail Asymptotics for Cumulative Processes Sampled at Heavy-tailed Random times with Applications to Queueing Models in Markovian Environments
This paper considers the tail asymptotics for a cumulative process {B(t); t ≥ 0} sampled at a heavy-tailed random time T . The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality P(B(T ) > bx) ∼ P(M(T ) > bx) ∼ P(T > x) as x → ∞, where M(t) = sup0≤u≤t B(u) and b is a certain positive constant. The main results of this paper can be used to ob...
متن کاملParametric estimation for partially hidden diffusion processes sampled at discrete times
For a one dimensional diffusion process X = {X(t) ; 0 ≤ t ≤ T }, we suppose that X(t) is hidden if it is below some fixed and known threshold τ , but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is to estimate finite dimensional parameter in both drift and diffusion coefficients under a partially hidden diffusion process obtained by...
متن کاملEstimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymptotic normality, and a characterization of standard errors. Sampling is at an arrival intensity that is allowed to depend on the underlying Markov process, and on the parameter vector to be estimat...
متن کاملEstimation of Continuous-Time Markov Processes Sampled at Random Time Intervals Forthcoming: Econometrica
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymptotic normality, and a characterization of standard errors. Sampling is at an arrival intensity that is allowed to depend on the underlying Markov process and on the parameter vector to be estimate...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Statistical Physics
سال: 2016
ISSN: 0022-4715,1572-9613
DOI: 10.1007/s10955-016-1475-2