On a problem of statistical inference in null recurrent diffusions

DOI10.1023/A:1022607201304zbMath1012.62091OpenAlexW1502284268MaRDI QIDQ1810758

Yury A. Kutoyants, Reinhard Hoepfner

Publication date: 9 June 2003

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

Full work available at URL: https://doi.org/10.1023/a:1022607201304

zbMATH Keywords

semiparametric modeldiffusion processeslimit theoremsnull recurrenceconvolution theoremparametric inferencelocal asymptotic minimax boundLAMN

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items

The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes ⋮ LAMN in a class of parametric models for null recurrent diffusions ⋮ LAMN property for multivariate inhomogeneous diffusions with discrete observations ⋮ Convergence rates of posterior distributions for Brownian semimartingale models ⋮ Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation ⋮ Estimation of parameters for discretely observed diffusion processes with a variety of rates for information ⋮ On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Estimation of longrun variance of continuous time stochastic process using discrete sample ⋮ On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models ⋮ Parametric estimation for non recurrent diffusion processes ⋮ Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions ⋮ Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models ⋮ Uniform law of large numbers and consistency of estimators for Harris diffusions ⋮ On invariant distribution function estimation for continuous-time stationary processes