\(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps

DOI10.1007/S11203-005-8113-YzbMath1125.62088OpenAlexW2043649492MaRDI QIDQ849861

Yasutaka Shimizu

Publication date: 14 November 2006

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-005-8113-y

zbMATH Keywords

asymptotic normality\(M\)-estimationparametric inferencediscrete observationdiffusion process with jumpsinfinitely many jumpspartial efficiency

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57)

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Cites Work

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• Asymptotic inference in Levy processes of the discontinuous type
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Estimation of an Ergodic Diffusion from Discrete Observations

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