Information criteria in model selection for mixing processes

DOI10.1023/A:1017535913009zbMath1092.62595OpenAlexW2152956106MaRDI QIDQ5952146

Nakahiro Yoshida, Masayuki Uchida

Publication date: 2001

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

Full work available at URL: https://doi.org/10.1023/a:1017535913009

zbMATH Keywords

asymptotic expansionMalliavin calculusdiffusion processM-estimatorsinformation criterionmedian-unbiasedness

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Stochastic calculus of variations and the Malliavin calculus (60H07)

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