On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators

DOI10.1111/1467-9469.00341zbMATH Open1034.62071OpenAlexW2103369487MaRDI QIDQ4455950FDOQ4455950

Harry van Zanten

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9469.00341

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zbMATH Keywords

maximum likelihood estimatorentropy integral

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Asymptotic Statistics
• Foundations of Modern Probability
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• Efficient density estimation for ergodic diffusion processes
• Stationary distribution function estimation for ergodic diffusion process
• On parameter estimation for switching ergodic diffusion processes
• A Note on Consistent Estimation of Multivariate Parameters in Ergodic Diffusion Models
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Cited In (6)

• Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
• Almost sure rate of convergence of maximum likelihood estimators for multidimensional diffusions
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Goodness of fit test for ergodic diffusion processes
• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models

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