Robust M-estimators in diffusion processes

DOI10.1007/BF00049433zbMath0671.62035OpenAlexW2100238034MaRDI QIDQ1119307

Nakahiro Yoshida

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1007/bf00049433

zbMATH Keywords

Sobolev spaceintegral operatorOrnstein-Uhlenbeck processboundary value problemasymptotic variancediffusion processesrobust estimationM-estimationsecond order differential equationboundedness of the influence functionoptimal robust M-estimator

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

On the robust estimation in Poisson processes with periodic intensities ⋮ \(p\)-adic Galois representations and \((\varphi,\tau)\)-modules ⋮ Asymptotic behavior of M-estimator and related random field for diffusion process ⋮ Maximum likelihood estimation for the drift parameter in diffusion processes

Cites Work

• Stable convergence of semimartingales
• Infinitesimal robustness for autoregressive processes
• Influence functionals for time series (with discussion)
• Estimation for diffusion processes under misspecified models
• Estimation of a Parameter of a Diffusion Process
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• The Influence Curve and Its Role in Robust Estimation
• Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case
• Minimum contrast estimation in diffusion processes
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Statistics
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