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

DOI10.1007/BF00050834zbMath0723.62048MaRDI QIDQ756893

Nakahiro Yoshida

Publication date: 1990

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationconvergence in distributionlocal asymptotic normalityasymptotic variancemisspecified modelslog- likelihood ratio random fieldsmultidimensional diffusion modelnon-ergodic modelsrobustified M-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random fields; image analysis (62M40) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

Related Items (18)

Quasi-likelihood analysis and its applications ⋮ Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ Estimation for incomplete information stochastic systems from discrete observations ⋮ An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Quasi likelihood analysis of volatility and nondegeneracy of statistical random field ⋮ Estimation of parameters of linear homogeneous stochastic differential equations ⋮ A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model ⋮ Approximate martingale estimating functions for stochastic differential equations with small noises ⋮ Estimation for diffusion processes from discrete observation ⋮ Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Parametric estimation for partially hidden diffusion processes sampled at discrete times ⋮ Maximum likelihood estimation for the drift parameter in diffusion processes ⋮ Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process ⋮ Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

Cites Work

• Stable convergence of semimartingales
• Asymptotic optimal inference for non-ergodic models
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Robust M-estimators in diffusion processes
• The weak convergence of the likelihood ratio random fields for Markov observations
• On mixing and stability of limit theorems
• The weak convergence of likelihood ratio random fields and its applications
• On the asymptotic behaviour of solutions of stochastic differential equations
• Estimation of a Parameter of a Diffusion Process
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case
• Minimum contrast estimation in diffusion processes
• On unique ergodicity for degenerate diffusions
• Asymptotic Behavior of Some Statistical Estimators II. Limit Theorems for the a Posteriori Density and Bayes’ Estimators
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• On Moment Inequalities for Stochastic Integrals
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