Data driven time scale in Gaussian quasi-likelihood inference

DOI10.1007/s11203-019-09197-xzbMath1433.62247arXiv1801.10378OpenAlexW2962919038WikidataQ128217598 ScholiaQ128217598MaRDI QIDQ2330960

Hiroki Masuda, Shoichi Eguchi

Publication date: 23 October 2019

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

Full work available at URL: https://arxiv.org/abs/1801.10378

zbMATH Keywords

Bayesian information criterionergodic diffusion processGaussian quasi-liklihoodmodel-time scale

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Drift estimation for a multi-dimensional diffusion process using deep neural networks ⋮ Gaussian quasi-information criteria for ergodic Lévy driven SDE

Uses Software

• YUIMA

Cites Work

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