Adaptive Bayes estimators and hybrid estimators for small diffusion processes based on sampled data

DOI10.14490/JJSS.46.129MaRDI QIDQ5281630zbMATH OpenOpenAlexFDO

Authors Ryosuke Nomura, Masayuki Uchida

Publication date 26 July 2017

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss.46.129

zbMATH Keywords

convergence of momentsBayes type estimatordiscrete time observationssmall diffusion process

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
• Partial quasi-likelihood analysis
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• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
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