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Asymptotic behavior of M-estimator and related random field for diffusion process

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  • Nakahiro Yoshida

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  • Nakahiro Yoshida, 1990. "Asymptotic behavior of M-estimator and related random field for diffusion process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 221-251, June.
    • Handle: RePEc:spr:aistmt:v:42:y:1990:i:2:p:221-251
    DOI: 10.1007/BF00050834
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    References listed on IDEAS

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    1. Yosihiko Ogata & Nobuo Inagaki, 1977. "The weak convergence of the likelihood ratio random fields for Markov observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 165-187, December.
    2. Feigin, Paul D., 1985. "Stable convergence of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 19(1), pages 125-134, February.
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    Cited by:

    1. Mitsuki Kobayashi & Yasutaka Shimizu, 2023. "Threshold estimation for jump-diffusions under small noise asymptotics," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 361-411, July.
    2. Nakahiro Yoshida, 2022. "Quasi-likelihood analysis and its applications," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 43-60, April.
    3. Kohei Chiba, 2020. "An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 319-353, July.
    4. Iacus, Stefano Maria & Uchida, Masayuki & Yoshida, Nakahiro, 2009. "Parametric estimation for partially hidden diffusion processes sampled at discrete times," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1580-1600, May.
    5. Dietz Hans M. & Kutoyants Yury A., 2003. "Parameter estimation for some non-recurrent solutions of SDE," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 29-46, January.
    6. Uchida, Masayuki, 2008. "Approximate martingale estimating functions for stochastic differential equations with small noises," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1706-1721, September.
    7. Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
    8. Michael Sørensen, 2008. "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers 2007-46, Department of Economics and Business Economics, Aarhus University.
    9. Sonja Rieder, 2012. "Robust parameter estimation for the Ornstein–Uhlenbeck process," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(4), pages 411-436, November.
    10. Jankunas, Andrius & Khasminskii, Rafail Z., 1997. "Estimation of parameters of linear homogeneous stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 72(2), pages 205-219, December.

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    Keywords

    Diffusion process; M-estimator;

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