@inbook{3d1bee3e20db410989e2f81122213e98,

title = "Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions",

abstract = "When \(\left (X_t\right )_{t\geq 0}\) is an ergodic process, the density function of Xt converges to some invariant density as t →∞. We will compute and study some asymptotic properties of pseudo moments estimators obtained from this invariant density, for a specific class of ergodic processes. In this class of processes we can find the Cox-Ingersoll & Ross or Dixit & Pindyck processes, among others. A comparative study of the proposed estimators with the usual estimators obtained from discrete approximations of the likelihood function will be carried out.",

author = "Pedro Mota and Esqu{\'i}vel, {Manuel Leote}",

note = "info:eu-repo/grantAgreement/FCT/5876/147204/PT# This work was partially supported by the Funda{\c c}{\~a}o para a Ci{\^e}ncia e a Tecnologia (Portuguese Foundation for Science and Technology) through the project UID/MAT/00297/2013 (Centro de Matem{\'a}tica e Aplica{\c c}{\~o}es).",

year = "2018",

month = aug,

day = "23",

doi = "10.1007/978-3-319-76605-8_24",

language = "English",

isbn = "978-3-319-76604-1",

series = "Contributions to Statistics",

publisher = "Springer International Publishing",

pages = "335--343",

editor = "T. Oliveira and C. Kitsos and A. Oliveira and L. Grilo",

booktitle = "Recent Studies on Risk Analysis and Statistical Modeling",

}