Minimum density power divergence estimator for diffusion processes
From MaRDI portal
Publication:1934487
DOI10.1007/s10463-012-0366-9zbMath1441.62219MaRDI QIDQ1934487
Publication date: 28 January 2013
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-012-0366-9
robustness; Ornstein-Uhlenbeck process; diffusion processes; minimum density power divergence estimator; discretely observed sample
62F12: Asymptotic properties of parametric estimators
62F35: Robustness and adaptive procedures (parametric inference)
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
Related Items
General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications, Robust estimation in stochastic frontier models, Robust test for dispersion parameter change in discretely observed diffusion processes, Robust parametric inference for finite Markov chains
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Minimum distance density-based estimation
- Estimation for diffusion processes from discrete observation
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Minimum Hellinger distance estimates for parametric models
- Statistical inference for ergodic diffusion processes.
- Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
- Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
- Estimation of the coefficients of a diffusion from discrete observations
- Approximate discrete-time schemes for statistics of diffusion processes
- Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
- Minimum Hellinger Distance Estimation for the Analysis of Count Data
- Robust and efficient estimation by minimising a density power divergence
- Estimation of an Ergodic Diffusion from Discrete Observations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
