A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
From MaRDI portal
Publication:1023627
DOI10.1016/j.csda.2007.10.004zbMath1452.62266OpenAlexW1982917526MaRDI QIDQ1023627
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.004
Hellinger distancedependent processesspecification testsBayesian inferencecontinuous timenonparametric density estimationinterest rate models
Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Robust estimation for longitudinal data based upon minimum Hellinger distance, A probabilistic graphical model based stochastic input model construction, On a family of test statistics for discretely observed diffusion processes, Bayesian inference for the proportion of true null hypotheses using minimum Hellinger distance, Simulated minimum Hellinger distance estimation of stochastic volatility models, Divergences test statistics for discretely observed diffusion processes, Editorial: Special issue on statistical and computational methods in finance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bootstrap specification tests for diffusion processes
- Data-driven bandwidth choice for density estimation based on dependent data
- Minimum Hellinger distance estimation of parameter in the random censorship model
- Minimum Hellinger distance estimates for parametric models
- Efficiency versus robustness: The case for minimum Hellinger distance and related methods
- How easy is a given density to estimate?
- Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
- On bandwidth choice for density estimation with dependent data
- Empirical Characteristic Function Estimation and Its Applications
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Minimum Hellinger Distance Estimation for Finite Mixtures of Poisson Regression Models and Its Applications
- ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
- Minimum Hellinger Distance Estimation for the Analysis of Count Data
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Minimum Hellinger Distance Estimation for Finite Mixture Models
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- An equilibrium characterization of the term structure
