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

DOI10.1007/S10463-009-0245-1zbMATH Open1422.60135OpenAlexW2027202205MaRDI QIDQ904080FDOQ904080

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (28)

• Adaptive test statistics for ergodic diffusion processes sampled at discrete times
• Parametric estimation for a parabolic linear SPDE model based on discrete observations
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Adaptive test for ergodic diffusions plus noise
• Data driven time scale in Gaussian quasi-likelihood inference
• Regularized bridge-type estimation with multiple penalties
• Hybrid estimators for stochastic differential equations from reduced data
• Hybrid estimators for small diffusion processes based on reduced data
• On Rényi information for ergodic diffusion processes
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
• Quasi-likelihood analysis and its applications
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Partial quasi-likelihood analysis
• Adaptive estimation for degenerate diffusion processes
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• Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
• AIC type statistics for discretely observed ergodic diffusion processes
• Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
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• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• Asymptotic expansion and information criteria
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Model selection for volatility prediction

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