Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
DOI10.3150/14-BEJ634zbMath1337.60194arXiv1310.5304OpenAlexW1954272830MaRDI QIDQ888473
Publication date: 30 October 2015
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.5304
parameter estimationMalliavin calculusasymptotic efficiencydiffusion processestransition densitieslocal asymptotic mixed normalitynon-synchronous observationsBayes-type estimatorquasi-likelihood estimators
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (7)
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