AIC type statistics for discretely observed ergodic diffusion processes

DOI10.1007/S11203-014-9101-XMaRDI QIDQ466057zbMATH OpenOpenAlexFDO

Authors Takayuki Fujii, Masayuki Uchida

Publication date 24 October 2014

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

Full work available at URL https://doi.org/10.1007/s11203-014-9101-x

zbMATH Keywords

adaptive estimationAkaike's information criteriondiffusion processdiscrete observationsmodel selection

Mathematics Subject Classification ID

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

Recommendations

• Statistical inference for ergodic diffusion processes.
• Estimation of an Ergodic Diffusion from Discrete Observations
• On a family of test statistics for discretely observed diffusion processes
• Approximate discrete-time schemes for statistics of diffusion processes
• Discrete-time statistical inference for multiscale diffusions
• Divergences test statistics for discretely observed diffusion processes
• Parametric inference for discretely observed non-ergodic diffusions
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Adaptive test statistics for ergodic diffusion processes sampled at discrete times

Cites work

• A new look at the statistical model identification
• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Estimation of an Ergodic Diffusion from Discrete Observations
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 810984 (Why is no real title available?)
• Information criteria and statistical modeling.
• Information criteria in model selection for mixing processes
• LAN property for ergodic diffusions with discrete observations
• Model Selection and Multimodel Inference
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Statistical inference for ergodic diffusion processes.

Cited in

(9)

• Hybrid estimators for stochastic differential equations from reduced data
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• Adaptive test for ergodic diffusions plus noise
• Optimality of AIC in inference about Brownian motion
• Asymptotic expansion and information criteria
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• Statistical modeling for stochastic differential equations
• Quasi-Bayesian information criterion of SEM for diffusion processes based on high-frequency data
• Contrast-based information criterion for ergodic diffusion processes from discrete observations

This page was built for publication: AIC type statistics for discretely observed ergodic diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q466057)