Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method

DOI10.1515/ROSE-2013-0019zbMATH Open1281.62177OpenAlexW2320718855MaRDI QIDQ2873161FDOQ2873161

Authors: Julien Apala N'drin, Ouagnina Hili 

Publication date: 23 January 2014

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2013-0019

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zbMATH Keywords

asymptotic normalityconsistencygeometric ergodicity\(\alpha\)-mixing processHellinger distance estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Strong limit theorems (60F15)

Cited In (9)

• Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
• Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator
• Title not available (Why is that?)
• Parameter estimation for diffusion process from perturbed discrete observations
• The application of minimum Hellinger distance method in parametric estimation of diffusion processes -- Based on the estimation of transition density
• Minimum Hellinger distance estimation of multivariate GARCH processes
• Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process
• Minimum profile Hellinger distance estimation for semiparametric simple linear regression model
• Asymptotic normality of the minimum non-Hilbertian distance estimators for a diffusion process with small noise

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