scientific article; zbMATH DE number 1406730

MaRDI QIDQ4940647zbMATH OpenFDO

Authors Yoichi Nishiyama

Publication date 24 February 2000

zbMATH Keywords

asymptotic efficiencyasymptotic normalityentropymartingalesweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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Cited in

(16)

• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Weak convergence of some classes of martingales with jumps.
• On the paper ``Weak convergence of some classes of martingales with jumps
• A change detection procedure for an ergodic diffusion process
• On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Donsker theorems for diffusions: necessary and sufficient conditions
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• Goodness-of-fit test for a nonlinear time series
• Limit theorems and inequalities via martingale methods
• On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators
• Martingale methods in statistics
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
• Moment convergence of M-estimators
• Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments

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