Minimum density power divergence estimator for diffusion processes
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DOI: 10.1007/s10463-012-0366-9
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References listed on IDEAS
- Ayanendranath Basu & Bruce Lindsay, 1994. "Minimum disparity estimation for continuous models: Efficiency, distributions and robustness," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(4), pages 683-705, December.
- Sangyeol Lee & Okyoung Na, 2005. "Test for parameter change based on the estimator minimizing density-based divergence measures," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 553-573, September.
- Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
- Cao, Ricardo & Cuevas, Antonio & Fraiman, Ricardo, 1995. "Minimum distance density-based estimation," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 611-631, December.
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- Song, Junmo & Oh, Dong-hyun & Kang, Jiwon, 2017. "Robust estimation in stochastic frontier models," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 243-267.
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Keywords
Diffusion processes; The Ornstein–Uhlenbeck process; Minimum density power divergence estimator; Discretely observed sample; Robustness;All these keywords.
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