Asymptotic expansion and information criteria

zbMATH Open1104.62015MaRDI QIDQ3420148FDOQ3420148

Authors: Masayuki Uchida, Nakahiro Yoshida 

Publication date: 1 February 2007

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zbMATH Keywords

Malliavin calculus\(M\)-estimatorsmedian unbiasedness

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20)

Cited In (12)

• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Data driven time scale in Gaussian quasi-likelihood inference
• Information criteria in model selection for mixing processes
• Hybrid estimators for small diffusion processes based on reduced data
• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Further asymptotic properties of the generalized information criterion
• Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
• Title not available (Why is that?)
• Moment convergence of regularized least-squares estimator for linear regression model
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• Model selection for volatility prediction

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