Quasi likelihood analysis of volatility and nondegeneracy of statistical random field

DOI10.1016/J.SPA.2013.04.008zbMATH Open1284.62539arXiv1212.5715OpenAlexW2072867050MaRDI QIDQ2447656FDOQ2447656

Authors: Masayuki Uchida, Nakahiro Yoshida 

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequality for the quasi likelihood random field. Then it becomes crucial to prove nondegeneracy of a key index chi_0. By nature of the sampling setting, chi_0 is random. This makes it difficult to apply a naive sufficient condition, and requires a new machinery. In order to establish a quasi likelihood analysis, we need quantitative estimate of the nondegeneracy of chi_0. The existence of a nondegenerate local section of a certain tensor bundle associated with the statistical random field solves this problem.

Full work available at URL: https://arxiv.org/abs/1212.5715

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zbMATH Keywords

convergence of momentsasymptotic mixed normalitydiscrete time observationsBayes type estimatorsmaximum likelihood type estimatorspolynomial type large deviation inequalities

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Large deviations (60F10) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

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Cited In (22)

• Adaptive test statistics for ergodic diffusion processes sampled at discrete times
• Parametric estimation for a parabolic linear SPDE model based on discrete observations
• A review of asymptotic theory of estimating functions
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• Moment convergence of \(Z\)-estimators
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• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
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