Quasi-likelihood analysis for nonsynchronously observed diffusion processes

DOI10.1016/J.SPA.2014.03.014zbMATH Open1329.60283arXiv1512.01619OpenAlexW1987858734MaRDI QIDQ740191FDOQ740191

Teppei Ogihara, Nakahiro Yoshida

Publication date: 2 September 2014

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

Abstract: We introduce a point process regression model that is applicable to price models and limit order book models. Hawkes type autoregression in the intensity process is generalized to a stochastic regression to covariate processes. We establish the so-called quasi likelihood analysis, which gives a polynomial type large deviation estimate for the statistical random field. We derive large sample properties of the maximum likelihood type estimator and the Bayesian type estimator when the intensity processes become large under a finite time horizon. There appears non-ergodic statistics. A classical approach is also mentioned.

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

Recommendations

• Quasi‐maximum likelihood estimation of discretely observed diffusions
• A quasi-likelihood approach to estimating parameters in diffusion-type processes
• Quasi-likelihood estimation of a threshold diffusion process
• scientific article
• Efficient computation of the quasi likelihood function for discretely observed diffusion processes
• Quasi-maximum likelihood estimation of multivariate diffusions
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
• Likelihood Inference for Discretely Observed Nonlinear Diffusions

zbMATH Keywords

stochastic differential equationsdiffusion processesquasi-likelihood analysisasymptotic mixed normalitynonsynchronous observationsquasi-maximum likelihood estimatorsBayes type estimatorspolynomial type large deviation inequality

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• Title not available (Why is that?)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Statistical inference for spatial Poisson processes
• Statistical inference for ergodic diffusion processes.
• A new weak dependence condition and applications to moment inequalities
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of an Ergodic Diffusion from Discrete Observations
• Title not available (Why is that?)
• On covariance estimation of non-synchronously observed diffusion processes
• Fourier series method for measurement of multivariate volatilities
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• On estimating the diffusion coefficient
• Nonsynchronous covariation process and limit theorems
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Title not available (Why is that?)
• Estimation for Dynamical Systems with Small Noise from Discrete Observations
• Asymptotic Behavior of Some Statistical Estimators II. Limit Theorems for the a Posteriori Density and Bayes’ Estimators
• Asymptotic Behavior of Statistical Estimators in the Smooth Case. I. Study of the Likelihood Ratio

Cited In (16)

• Parametric estimation for a parabolic linear SPDE model based on discrete observations
• Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
• On the asymptotic properties of Bayes-type estimators with general loss functions
• Hybrid estimators for stochastic differential equations from reduced data
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
• Misspecified diffusion models with high-frequency observations and an application to neural networks
• Quasi-likelihood analysis and its applications
• Title not available (Why is that?)
• Partial quasi-likelihood analysis
• Title not available (Why is that?)
• Global jump filters and quasi-likelihood analysis for volatility
• Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• Title not available (Why is that?)

This page was built for publication: Quasi-likelihood analysis for nonsynchronously observed diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q740191)