Asymptotic theory of semiparametric Z-estimators for stochastic processes with applications to ergodic diffusions and time series

DOI10.1214/09-AOS693MaRDI QIDQ1043751zbMATH OpenFDO

Authors Yoichi Nishiyama

Publication date 9 December 2009

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.0439

zbMATH Keywords

asymptotic efficiencyestimating functionmetric entropynuisance parameterdiscrete observationergodic diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Abstract: This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to derive the asymptotic behavior of the solution to an estimating equation $hetaleadstoPs{i}_n(heta,widehat{h}_n)=0$ with an abstract nuisance parameter $h$ when the compensator of $Ps{i}_n$ is random. As its application, we consider the estimation problem in an ergodic diffusion process model where the drift coefficient contains an unknown, finite-dimensional parameter $heta$ and the diffusion coefficient is indexed by a nuisance parameter $h$ from an infinite-dimensional space. An example for the nuisance parameter space is a class of smooth functions. We establish the asymptotic normality and efficiency of a $Z$-estimator for the drift coefficient. As another application, we present a similar result also in an ergodic time series model.

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Cited in

(7)

• On nonrecurrence of nonlinear random time delay autoregressive models under random environment
• On \(Z\)-estimation by rounded data
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Two-step estimations via the Dantzig selector for models of stochastic processes with high-dimensional parameters
• Asymptotically distribution free test for parameter change in a diffusion process model
• Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
• Variable bandwidth local maximum likelihood type estimation for diffusion processes

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