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On estimating the diffusion coefficient from discrete observations. (English) Zbl 0796.62070

A consistent and asymptotically normal estimator of the diffusion coefficient of an Itô equation is constructed where time-discrete observations are given. Local times and kernel estimators are used.
Reviewer: W.Grecksch (Halle)

MSC:

62M05 Markov processes: estimation; hidden Markov models
60J60 Diffusion processes
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