Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
Work
Year: 2004
Type: article
Abstract: 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, asymp... more
Source: Econometrica
Authors Darrell Duffie, Peter W. Glynn
Institution Stanford University
Cites: 107
Cited by: 90
Related to: 10
FWCI: 3.654
Citation percentile (by year/subfield): 96.21
Subfield: Finance
Domain: Social Sciences
Open Access status: green