Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation

DOI10.1007/S11203-007-9010-3MaRDI QIDQ623478zbMATH OpenOpenAlexFDO

Authors Sumit K. Garg

Publication date 5 February 2011

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

Full work available at URL https://doi.org/10.1007/s11203-007-9010-3

zbMATH Keywords

rate of convergencemaximum likelihood estimatorHarris diffusionregularity of martingale families

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Martingales with continuous parameter (60G44)

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Cites work

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• Weak convergence and empirical processes. With applications to statistics

Cited in

(4)

• Almost sure rate of convergence of maximum likelihood estimators for multidimensional diffusions
• Convergence rates of posterior distributions for Brownian semimartingale models
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
• Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space

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