@inbook{3d1bee3e20db410989e2f81122213e98,
title = "Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions",
abstract = "When \textbackslash{}(\textbackslash{}left (X\_t\textbackslash{}right )\_\{t\textbackslash{}geq 0\}\textbackslash{}) 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",
address = "Switzerland",
}