Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
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Publication:1043751
DOI10.1214/09-AOS693zbMath1369.62045arXiv0909.0439MaRDI QIDQ1043751
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
asymptotic efficiency; nuisance parameter; metric entropy; estimating function; discrete observation; ergodic diffusion
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
62M05: Markov processes: estimation; hidden Markov models
Related Items
On \(Z\)-estimation by rounded data, Asymptotically distribution free test for parameter change in a diffusion process model
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