Preliminary test and estimation in some multifactor diffusion processes

DOI10.1007/s13171-013-0026-zzbMath1273.62198MaRDI QIDQ369390

Sévérien Nkurunziza

Publication date: 24 September 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-013-0026-z

zbMATH Keywords

MLE; asymptotic distributional risk; pretest estimator; Stein-rule

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M05: Markov processes: estimation; hidden Markov models

58J65: Diffusion processes and stochastic analysis on manifolds

Related Items

Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

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