Estimation for the invariant law of an ergodic diffusion process based on high-frequency data

DOI10.1080/10485252.2011.591397zbMath1284.62230OpenAlexW1994165559MaRDI QIDQ3106432

Yoichi Nishiyama

Publication date: 21 December 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2011.591397

zbMATH Keywords

weak convergenceasymptotic efficiencyergodic diffusioninvariant law

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items

Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes ⋮ Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations

Cites Work

• Unnamed Item
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Stationary distribution function estimation for ergodic diffusion process
• Statistical inference for ergodic diffusion processes.
• Weak convergence and empirical processes. With applications to statistics
• Efficient density estimation for ergodic diffusion processes
• Donsker theorems for diffusions: necessary and sufficient conditions
• Estimation of an Ergodic Diffusion from Discrete Observations
• Optimal sampling for density estimation in continuous time
• Représentation autorégressive de l'opérateur de covariance empirique d'un ARH(1). Applications
• Inference and Prediction in Large Dimensions
• On efficient estimation of invariant density for ergodic diffusion processes

This page was built for publication: Estimation for the invariant law of an ergodic diffusion process based on high-frequency data