Asymptotic behavior of M-estimator and related random field for diffusion process
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- Asymptotic Behavior of Some Statistical Estimators II. Limit Theorems for the a Posteriori Density and Bayes’ Estimators
- Asymptotic optimal inference for non-ergodic models
- Estimation of a Parameter of a Diffusion Process
- Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case
- General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- Minimum contrast estimation in diffusion processes
- On Moment Inequalities for Stochastic Integrals
- On mixing and stability of limit theorems
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- On the asymptotic behaviour of solutions of stochastic differential equations
- On unique ergodicity for degenerate diffusions
- Robust M-estimators in diffusion processes
- Stable convergence of semimartingales
- The weak convergence of likelihood ratio random fields and its applications
- The weak convergence of the likelihood ratio random fields for Markov observations
Cited in
(22)- Robust parameter estimation for the Ornstein-Uhlenbeck process
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Estimation of parameters of linear homogeneous stochastic differential equations
- Third-order asymptotic expansion of \(M\)-estimators for diffusion processes
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Estimation for diffusion processes from discrete observation
- Asymptotically normal families of distributions and efficient estimation
- Quasi-likelihood analysis and its applications
- Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
- Asymptotic distribution of MLE’s of the parameters for a diffusion model with catastrophes and some related inference problems
- Adaptive estimation for degenerate diffusion processes
- Parametric estimation for partially hidden diffusion processes sampled at discrete times
- Threshold estimation for jump-diffusions under small noise asymptotics
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
- Maximum likelihood estimation for the drift parameter in diffusion processes
- Approximate martingale estimating functions for stochastic differential equations with small noises
- A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model
- An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- Estimation for incomplete information stochastic systems from discrete observations
- Asymptotic properties of MLE for partially observed fractional diffusion system
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