Preliminary test and estimation in some multifactor diffusion processes

DOI10.1007/S13171-013-0026-ZzbMATH Open1273.62198OpenAlexW2129016899MaRDI QIDQ369390FDOQ369390

Authors 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

pretest estimatorMLEasymptotic distributional riskStein-rule

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Diffusion processes and stochastic analysis on manifolds (58J65)

Recommendations

• Shrinkage strategies in some multiple multi-factor dynamical systems
• Parameter estimation for multivariate diffusion processes with the time inhomogeneously positive semidefinite diffusion matrix
• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
• Preliminary test estimation in uniformly locally asymptotically normal models
• Inference in a multivariate generalized mean-reverting process with a change-point

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• scientific article; zbMATH DE number 1944491 (Why is no real title available?)
• scientific article; zbMATH DE number 857089 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A simple formula for asymptotic distributional risk of some estimators
• Extension of some important identities in shrinkage-pretest strategies
• Improved nonparametric estimation of location vectors in multivariate regression models
• On some pre-test and Stein-rule phi-divergence test estimators in the independence model of categorical data
• On the Distribution of General Quadratic Functions in Normal Vectors
• On the harm that ignoring pretesting can cause
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Shrinkage estimation for the difference between a control and treatment mean
• Statistical inference for ergodic diffusion processes.
• The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

Cited in

(1)

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

This page was built for publication: Preliminary test and estimation in some multifactor diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q369390)