Parametric inference for discretely observed non-ergodic diffusions

DOI10.3150/BJ/1151525127zbMATH Open1100.62081OpenAlexW2057606362MaRDI QIDQ850751FDOQ850751

Jean Jacod

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1151525127

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zbMATH Keywords

moment estimatesBurkholder-Gundy inequalitynon-ergodic diffusion processesparametric inference for diffusions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Asymptotic optimal inference for non-ergodic models
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Cited In (33)

• Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
• Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
• Empirical \(L^2\)-distance test statistics for ergodic diffusions
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Quantifying Model Uncertainties in Complex Systems
• GARCH modelling in continuous time for irregularly spaced time series data
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• Parametric estimation for non recurrent diffusion processes
• Parametric estimation from approximate data: non-Gaussian diffusions
• Parametric Inference for Discretely Sampled Stochastic Differential Equations
• Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
• Parametric estimation for discretely observed stochastic processes with jumps
• Parameter estimation for certain nonstationary processes driven by α-stable motions
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Non-parametric estimation for partially observed transient diffusion processes
• Parametric inference for hypoelliptic ergodic diffusions with full observations
• AIC type statistics for discretely observed ergodic diffusion processes
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• Statistical inference for nonergodic weighted fractional Vasicek models
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes
• Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters
• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• Estimation of stochastic volatility models by nonparametric filtering
• Is a Brownian Motion Skew?
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• On nonergodicity for nonparametric autoregressive models

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