Minimum density power divergence estimator for diffusion processes

DOI10.1007/S10463-012-0366-9MaRDI QIDQ1934487zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Junmo Song

Publication date 28 January 2013

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

Full work available at URL https://doi.org/10.1007/s10463-012-0366-9

zbMATH Keywords

Ornstein-Uhlenbeck processrobustnessdiffusion processesminimum density power divergence estimatordiscretely observed sample

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
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• Estimation for diffusion processes from discrete observation
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• Estimation of the coefficients of a diffusion from discrete observations
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
• Minimum Hellinger Distance Estimation for the Analysis of Count Data
• Minimum Hellinger distance estimates for parametric models
• Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
• Minimum distance density-based estimation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Robust and efficient estimation by minimising a density power divergence
• Statistical inference for ergodic diffusion processes.
• Test for parameter change based on the estimator minimizing density-based divergence meas\-ures

Cited in

(10)

• Robust test for dispersion parameter change in discretely observed diffusion processes
• Robust parametric inference for finite Markov chains
• The minimum density power divergence estimation for the lognormal density
• Robust estimation of dispersion parameter in discretely observed diffusion processes
• Robust estimation in stochastic frontier models
• Minimum density power divergence estimator for GARCH models
• Infinitesimal robustness for diffusions
• General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications
• A note on the asymptotic distribution of the minimum density power divergence estimator
• Minimum density power divergence estimator for Poisson autoregressive models

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