Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

DOI10.1214/13-AOS1121zbMath1292.62124arXiv1308.2830MaRDI QIDQ367001

Hiroki Masuda

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2830

zbMATH Keywords

exponential ergodicity; Gaussian quasi-likelihood estimation; high-frequency sampling; Lévy driven stochastic differential equation; polynomial-type large deviation inequality

Mathematics Subject Classification ID

62M40: Random fields; image analysis

62M05: Markov processes: estimation; hidden Markov models

Related Items

Unnamed Item, Finite Mixture Approximation of CARMA(p,q) Models, LAN property for an ergodic diffusion with jumps, Unnamed Item, Gaussian quasi-information criteria for ergodic Lévy driven SDE, Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models, Modelling Point Referenced Spatial Count Data: A Poisson Process Approach, Two-step estimation of ergodic Lévy driven SDE, Hybrid estimators for stochastic differential equations from reduced data, Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process, Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails, Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function, Adaptive estimation for degenerate diffusion processes, Quasi-likelihood analysis and its applications, Noise inference for ergodic Lévy driven SDE, Estimating diffusion with compound Poisson jumps based on self-normalized residuals, Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models, Estimating functions for jump-diffusions, Partial quasi-likelihood analysis, Data driven time scale in Gaussian quasi-likelihood inference, Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications, Hybrid multi-step estimators for stochastic differential equations based on sampled data, Jump filtering and efficient drift estimation for Lévy-driven SDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Asymptotic and spectral properties of exponentially \(\phi\)-ergodic Markov processes
• Subgeometric ergodicity of strong Markov processes
• Uniform moment bounds of Fisher's information with applications to time series
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Convergence of moments of least squares estimators for the coefficients of an autoregressive process of unknown order
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• A note on inequalities for probabilities of large deviations of estimators in nonlinear regression models
• Criteria for ergodicity of Lévy type operators in dimension one
• Volatility estimators for discretely sampled Lévy processes
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Moment estimates for Lévy processes
• A large deviation result for parameter estimators and its application to nonlinear regression analysis
• The weak convergence of the likelihood ratio random fields for Markov observations
• Estimation for diffusion processes from discrete observation
• The weak convergence of likelihood ratio random fields and its applications
• Invariant measure for diffusions with jumps
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Statistical inference for ergodic diffusion processes.
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• LAN property for ergodic diffusions with discrete observations
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Fisher's Information for Discretely Sampled Lvy Processes
• Asymptotic Statistics
• Estimation of an Ergodic Diffusion from Discrete Observations
• ERGODIC PRORERTY OF N-DIMENSIONAL RECURRENT MARKOV PROCESSES
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model