A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models

DOI10.1016/j.csda.2007.10.004zbMath1452.62266OpenAlexW1982917526MaRDI QIDQ1023627

Michel Lubrano, Ludovic Giet

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

zbMATH Keywords

Hellinger distancedependent processesspecification testsBayesian inferencecontinuous timenonparametric density estimationinterest rate models

Mathematics Subject Classification ID

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)

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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

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