Central limit theorem for an estimator of the variance of a diffusion process in the multidimensional case

zbMath0792.60017MaRDI QIDQ1322931

Pierre Brugière

Publication date: 24 July 1994

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1993__29_3_357_0

zbMATH Keywords

characteristic functionscentral limit theoremestimator of the variance of a diffusion process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Local time and additive functionals (60J55)

Related Items (5)

The normal approximation rate for the drift estimator of multidimensional diffusions ⋮ Nonparametric estimation for the diffusion coefficient of multidimensional time-varying diffusion processes ⋮ Asymptotics for theL^p-deviation of the variance estimator under diffusion ⋮ ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES ⋮ Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

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