Contrast-based information criterion for ergodic diffusion processes from discrete observations
From MaRDI portal
(Redirected from Publication:904080)
Recommendations
- AIC type statistics for discretely observed ergodic diffusion processes
- Asymptotic expansion and information criteria
- Information criteria in model selection for mixing processes
- Statistical modeling for stochastic differential equations
- Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 4126526 (Why is no real title available?)
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- scientific article; zbMATH DE number 2208228 (Why is no real title available?)
- A general Akaike-type criterion for model selection in robust regression
- A new look at the statistical model identification
- Akaike's information criterion and Kullback-Leibler loss for histogram density estimation
- Approximate discrete-time schemes for statistics of diffusion processes
- Asymptotic expansion and information criteria
- Asymptotic expansion formulas for functionals of \(\varepsilon\)-Markov processes with a mixing property
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Asymptotic theory for non-linear least squares estimator for diffusion processes
- Bayesian prediction and model selection for locally asymptotically mixed normal models
- Closed-form likelihood expansions for multivariate diffusions
- Estimation for diffusion processes from discrete observation
- Estimation of an Ergodic Diffusion from Discrete Observations
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Generalised information criteria in model selection
- Information criteria and statistical modeling.
- Information criteria for small diffusions via the theory of Malliavin-Watanabe
- Information criteria in model selection for mixing processes
- LAN property for ergodic diffusions with discrete observations
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
- Malliavin calculus and asymptotic expansion for martingales
- Model Selection and Multimodel Inference
- On the Poisson equation and diffusion approximation. I
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Parametric inference for discretely observed non-ergodic diffusions
- Partial mixing and Edgeworth expansion
- Selection of the order of an autoregressive model by Akaike's information criterion
- Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
- Statistical inference for ergodic diffusion processes.
- The Malliavin Calculus and Related Topics
- The weak convergence of likelihood ratio random fields and its applications
Cited in
(28)- Adaptive test for ergodic diffusions plus noise
- AIC type statistics for discretely observed ergodic diffusion processes
- Partial quasi-likelihood analysis
- VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
- Quasi-likelihood analysis and its applications
- Parametric estimation for a parabolic linear SPDE model based on discrete observations
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Regularized bridge-type estimation with multiple penalties
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
- Adaptive estimation for degenerate diffusion processes
- Asymptotic expansion and information criteria
- The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
- Hybrid estimators for small diffusion processes based on reduced data
- Hybrid estimators for stochastic differential equations from reduced data
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Gaussian quasi-information criteria for ergodic Lévy driven SDE
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Data driven time scale in Gaussian quasi-likelihood inference
- scientific article; zbMATH DE number 7387192 (Why is no real title available?)
- On Rényi information for ergodic diffusion processes
- Model selection for volatility prediction
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
This page was built for publication: Contrast-based information criterion for ergodic diffusion processes from discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q904080)
