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

DOI10.1111/1467-9469.00341MaRDI QIDQ4455950zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(7)

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

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