Asymptotic behavior of M-estimator and related random field for diffusion process
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Publication:756893
A statistical parameter estimation problem in a multidimensional diffusion model of observations is considered. The author investigates the asymptotic behavior of the log-likelihood ratio random fields and of some of more general kind and related ML- and robustified M-estimators, when the observation time goes to infinity and the clean observation data are loaded by additional noises and (or) the true model is misspecified. The results obtained generalize earlier ones on local asymptotic normality, due to \textit{L. LeCam} [Univ. California Publ. Statist. 3, 37- 98 (1960; Zbl 0104.127)] and successors, for noisy, misspecified, and non-ergodic models.
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Cited in
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