Robust estimation of dispersion parameter in discretely observed diffusion processes

DOI10.5705/SS.2014.162MaRDI QIDQ2960521zbMATH OpenOpenAlexFDO

Authors Junmo Song

Publication date 17 February 2017

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8617cc962504243f93d04bc2480aabee4b2c0c88

zbMATH Keywords

diffusion processesdispersion parameterminimum density power divergence estimatorrobust estimation

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(7)

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• Minimum density power divergence estimator for diffusion processes
• Robust test for dispersion parameter change in discretely observed diffusion processes
• Sequential change point test in the presence of outliers: the density power divergence based approach
• Test for parameter change in the presence of outliers: the density power divergence-based approach
• Approximation, Randomization and Combinatorial Optimization. Algorithms and Techniques
• Robustified Gaussian quasi-likelihood inference for volatility

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