On uniform laws of large numbers for ergodic diffusions and consistency of estimators

DOI10.1023/A:1023904715206MaRDI QIDQ1412242zbMATH OpenOpenAlexFDO

Authors Harry van Zanten

Publication date 10 November 2003

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1023904715206

zbMATH Keywords

consistencylaws of large numbersergodic diffusions

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Strong limit theorems (60F15) Limit theorems in probability theory (60F99) Local time and additive functionals (60J55)

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(18)

• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
• Uniform law of large numbers and consistency of estimators for Harris diffusions
• A uniform \(L^1\) law of large numbers for functions of i.i.d. random variables that are translated by a consistent estimator
• Nonparametric Bayesian inference for ergodic diffusions
• Uniform concentration inequality for ergodic diffusion processes
• Donsker theorems for diffusions: necessary and sufficient conditions
• A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
• Convergence rates of posterior distributions for Brownian semimartingale models
• A change detection procedure for an ergodic diffusion process
• On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• On the uniform convergence of the empirical density of an ergodic diffusion
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Fine mesh limit of the VRJP in dimension one and Bass-Burdzy flow
• Asymptotics for recurrent diffusions with application to high frequency regression
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• scientific article; zbMATH DE number 895832 (Why is no real title available?)

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