Contrast-based information criterion for ergodic diffusion processes from discrete observations

DOI10.1007/s10463-009-0245-1zbMath1422.60135OpenAlexW2027202205MaRDI QIDQ904080

Masayuki Uchida

Publication date: 15 January 2016

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

Full work available at URL: https://doi.org/10.1007/s10463-009-0245-1

zbMATH Keywords

model selectionMalliavin calculuslarge deviation inequalityAkaike's information criteriadiscrete time observationmaximum contrast estimator

Mathematics Subject Classification ID

Diffusion processes (60J60) Statistical ranking and selection procedures (62F07)

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