Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

DOI10.1007/S11203-014-9095-4zbMATH Open1333.62200OpenAlexW2040562319MaRDI QIDQ398577FDOQ398577

Nakahiro Yoshida, Masayuki Uchida

Publication date: 15 August 2014

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-014-9095-4

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zbMATH Keywords

stochastic differential equationconvergence of momentsBayes type estimatordiscrete time observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cited In (24)

• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• On the multi-step MLE-process for ergodic diffusion
• Penalized least squares approximation methods and their applications to stochastic processes
• Adaptive test for ergodic diffusions plus noise
• Empirical \(L^2\)-distance test statistics for ergodic diffusions
• On the asymptotic properties of Bayes-type estimators with general loss functions
• Regularized bridge-type estimation with multiple penalties
• Hybrid estimators for stochastic differential equations from reduced data
• Hybrid estimators for small diffusion processes based on reduced data
• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
• Quasi-likelihood analysis and its applications
• On approximation of BSDE and multi-step MLE-processes
• Partial quasi-likelihood analysis
• Adaptive estimation for degenerate diffusion processes
• Title not available (Why is that?)
• Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
• Global jump filters and quasi-likelihood analysis for volatility
• AIC type statistics for discretely observed ergodic diffusion processes
• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• Change point inference in ergodic diffusion processes based on high frequency data
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Hybrid multi-step estimators for stochastic differential equations based on sampled data

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