Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes

L. Galtchouk; S. Pergamenshchikov

doi:10.1007/s11203-005-3248-4

Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-005-3248-4 ◽

2006 ◽

Vol 9 (1) ◽

pp. 1-16 ◽

Cited By ~ 8

Author(s):

L. Galtchouk ◽

S. Pergamenshchikov

Keyword(s):

Diffusion Processes ◽

Kernel Estimates ◽

Ergodic Diffusion ◽

Asymptotically Efficient ◽

Drift Coefficient

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Quadratic Type Contrast Functions for Discretely Observed Non-Ergodic Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1344189 ◽

2009 ◽

Cited By ~ 4

Author(s):

Yasutaka Shimizu

Keyword(s):

Diffusion Processes ◽

Ergodic Diffusion

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Estimation for misspecified ergodic diffusion processes from discrete observations

ESAIM Probability and Statistics ◽

10.1051/ps/2010001 ◽

2011 ◽

Vol 15 ◽

pp. 270-290 ◽

Cited By ~ 4

Author(s):

Masayuki Uchida ◽

Nakahiro Yoshida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Ergodic Diffusion

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Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-019-09203-2 ◽

2019 ◽

Vol 23 (1) ◽

pp. 171-198

Author(s):

Yusuke Kaino ◽

Shogo H. Nakakita ◽

Masayuki Uchida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Hybrid Estimation ◽

Ergodic Diffusion

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Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-014-9095-4 ◽

2014 ◽

Vol 17 (2) ◽

pp. 181-219 ◽

Cited By ~ 18

Author(s):

Masayuki Uchida ◽

Nakahiro Yoshida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Ergodic Diffusion

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Estimation for change point of discretely observed ergodic diffusion processes

Scandinavian Journal of Statistics ◽

10.1111/sjos.12567 ◽

2022 ◽

Author(s):

Yozo Tonaki ◽

Yusuke Kaino ◽

Masayuki Uchida

Keyword(s):

Change Point ◽

Diffusion Processes ◽

Ergodic Diffusion

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On Parameter Estimation by Contaminated Observations of Ergodic Diffusion Processes

Statistics for Industry and Technology - Parametric and Semiparametric Models with Applications to Reliability, Survival Analysis, and Quality of Life ◽

10.1007/978-0-8176-8206-4_28 ◽

2004 ◽

pp. 461-472

Author(s):

Yu. A. Kutoyants

Keyword(s):

Parameter Estimation ◽

Diffusion Processes ◽

Ergodic Diffusion

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AIC type statistics for discretely observed ergodic diffusion processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-014-9101-x ◽

2014 ◽

Vol 17 (3) ◽

pp. 267-282 ◽

Cited By ~ 4

Author(s):

Takayuki Fujii ◽

Masayuki Uchida

Keyword(s):

Diffusion Processes ◽

Ergodic Diffusion

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Adaptive testing method for ergodic diffusion processes based on high frequency data

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2021.08.004 ◽

2021 ◽

Author(s):

Tetsuya Kawai ◽

Masayuki Uchida

Keyword(s):

High Frequency ◽

Diffusion Processes ◽

Adaptive Testing ◽

High Frequency Data ◽

Frequency Data ◽

Testing Method ◽

Ergodic Diffusion

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M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-005-8113-y ◽

2006 ◽

Vol 9 (2) ◽

pp. 179-225 ◽

Cited By ~ 24

Author(s):

Yasutaka Shimizu

Keyword(s):

Diffusion Processes ◽

Ergodic Diffusion ◽

M Estimation

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

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-009-0245-1 ◽

2009 ◽

Vol 62 (1) ◽

pp. 161-187 ◽

Cited By ~ 23

Author(s):

Masayuki Uchida

Keyword(s):

Diffusion Processes ◽

Information Criterion ◽

Discrete Observations ◽

Ergodic Diffusion

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