Asymptotic behavior of M-estimator and related random field for diffusion process

DOI10.1007/BF00050834zbMATH Open0723.62048MaRDI QIDQ756893FDOQ756893

Authors: Nakahiro Yoshida 

Publication date: 1990

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

maximum likelihood estimationmisspecified modelsasymptotic variancelocal asymptotic normalityconvergence in distributionlog- likelihood ratio random fieldsmultidimensional diffusion modelnon-ergodic modelsrobustified M-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Random fields; image analysis (62M40) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• On the asymptotic behaviour of solutions of stochastic differential equations
• Asymptotic Behavior of Some Statistical Estimators II. Limit Theorems for the a Posteriori Density and Bayes’ Estimators

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
• Asymptotic distribution of MLE’s of the parameters for a diffusion model with catastrophes and some related inference problems
• Quasi-likelihood analysis and its applications
• Uniform deterministic equivalent of additive functionals and non-parametric drift estimation for one-dimensional recurrent diffusions
• Adaptive estimation for degenerate diffusion processes
• Threshold estimation for jump-diffusions under small noise asymptotics
• Parametric estimation for partially hidden diffusion processes sampled at discrete times
• 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
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
• Estimation for incomplete information stochastic systems from discrete observations
• Asymptotic properties of MLE for partially observed fractional diffusion system

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