Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series

DOI10.1214/09-AOS693zbMath1369.62045arXiv0909.0439MaRDI QIDQ1043751

Yoichi Nishiyama

Publication date: 9 December 2009

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

Full work available at URL: https://arxiv.org/abs/0909.0439

zbMATH Keywords

asymptotic efficiency; nuisance parameter; metric entropy; estimating function; discrete observation; ergodic diffusion

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

Related Items

Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications, On \(Z\)-estimation by rounded data, Variable bandwidth local maximum likelihood type estimation for diffusion processes, Asymptotically distribution free test for parameter change in a diffusion process model, \(Z\)-process method for change point problems with applications to discretely observed diffusion processes

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