Estimation of parameters for discretely observed diffusion processes with a variety of rates for information

Yasutaka Shimizu*

*この研究の対応する著者

研究成果: Article査読

7 被引用数 (Scopus)

抄録

A specific form of stochastic differential equation with unknown parameters are considered. We do not necessarily assume ergodicity or recurrency, and any moment conditions for the true process, but some tightness conditions for an information-like quantity. The interest is to estimate the parameters from discrete observations the step size of which tends to zero. Consistency and the rate of convergence of proposed estimators are presented. The rate is deduced naturally from the rate for the information-like quantities.

本文言語English
ページ(範囲)545-575
ページ数31
ジャーナルAnnals of the Institute of Statistical Mathematics
64
3
DOI
出版ステータスPublished - 2012 6月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率

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