LAMN in a class of parametric models for null recurrent diffusions

DOI10.1007/s11203-018-9175-yOpenAlexW2963983958MaRDI QIDQ1656853

Carina Zeller, Reinhard Hoepfner

Publication date: 10 August 2018

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

Full work available at URL: https://arxiv.org/abs/1711.01776

zbMATH Keywords

diffusionsnull recurrenceparametric inferenceinformation processlocal asymptotic minimax boundLAMNasymptotically optimal estimators

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Asymptotic statistics. With a view to stochastic processes
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• Asymptotics in statistics: some basic concepts
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• Statistical inference for ergodic diffusion processes.
• On a problem of statistical inference in null recurrent diffusions
• Limit distributions of some integral functionals for null-recurrent diffusions.
• Asymptotic behavior of parabolic equations arising from one-dimensional null-recurrent diffusions
• Limit theorems for null recurrent Markov processes
• A characterization of limiting distributions of regular estimates
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