Quasi-likelihood analysis for nonsynchronously observed diffusion processes

DOI10.1016/j.spa.2014.03.014zbMath1329.60283arXiv1512.01619MaRDI QIDQ740191

Teppei Ogihara, Nakahiro Yoshida

Publication date: 2 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01619

zbMATH Keywords

stochastic differential equations; diffusion processes; quasi-likelihood analysis; asymptotic mixed normality; nonsynchronous observations; quasi-maximum likelihood estimators; Bayes type estimators; polynomial type large deviation inequality

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60F10: Large deviations

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