Inference for ergodic diffusions plus noise

DOI10.1111/SJOS.12360MaRDI QIDQ5381072zbMATH OpenOpenAlexWikidataFDO

Authors Shogo H. Nakakita, Masayuki Uchida

Publication date 7 June 2019

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.11414

zbMATH Keywords

adaptive maximum-likelihood-type estimationdiscrete and noisy observationergodic diffusion processesquasi-likelihoodsstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation noise, the diffusion parameter and the drift one of the latent diffusion process. Moreover, it can lessen the computational burden compared to simultaneous maximum likelihood-type estimation. In addition to adaptive estimation, we propose a test to see if noise exists or not, and analyse real data as the example such that data contains observation noise with statistical significance.

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Cited in

(10)

• On a problem of statistical inference in null recurrent diffusions
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• Parametric inference for hypoelliptic ergodic diffusions with full observations
• Adaptive estimation for degenerate diffusion processes
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
• Adaptive test for ergodic diffusions plus noise
• Inference on the Lévy measure in case of noisy observations
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
• Parametric estimation for a parabolic linear SPDE model based on discrete observations

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