Moment estimation for ergodic diffusion processes

DOI10.3150/07-BEJ1040MaRDI QIDQ2469659zbMATH OpenFDO

Authors Nakahiro Yoshida, Yu. A. Kutoyants

Publication date 6 February 2008

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.3957, https://projecteuclid.org/euclid.bj/1194625596

zbMATH Keywords

nonparametric estimationasymptotic efficiencyasymptotic expansions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20)

Abstract: We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an asymptotically efficient estimator of the moment type functional or of a parameter which has a one-to-one correspondence to such a functional. Next, we clarify a higher order property of the moment type estimator by the Edgeworth expansion of the distribution function.

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Cited in

(10)

• Statistical Inference for Student Diffusion Process
• scientific article; zbMATH DE number 5519263 (Why is no real title available?)
• On cusp estimation of ergodic diffusion process
• On existence of moment of mean reversion estimator in linear diffusion models
• An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
• Asymptotic expansion and estimates of Wiener functionals
• scientific article; zbMATH DE number 1767707 (Why is no real title available?)
• Statistical inference for reciprocal gamma diffusion process
• Parameter estimation for Fisher-Snedecor diffusion
• Sup-norm adaptive drift estimation for multivariate nonreversible diffusions

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