Third-order asymptotic expansion of M-estimators for diffusion processes

DOI10.1007/S10463-008-0190-4MaRDI QIDQ841023zbMATH OpenOpenAlexFDO

Authors Yuji Sakamoto, Nakahiro Yoshida

Publication date 14 September 2009

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

Full work available at URL https://doi.org/10.1007/s10463-008-0190-4

zbMATH Keywords

\(M\)-estimatorasymptotic expansiondiffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(9)

• Asymptotic expansion of \(M_-\)-estimator over Wiener space
• Adaptive estimation for degenerate diffusion processes
• Moment estimation for ergodic diffusion processes
• Asymptotic expansion and estimates of Wiener functionals
• scientific article; zbMATH DE number 3868519 (Why is no real title available?)
• scientific article; zbMATH DE number 774827 (Why is no real title available?)
• High order asymptotic expansion for Wiener functionals
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Asymptotic behavior of M-estimator and related random field for diffusion process

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