Partial mixing and Edgeworth expansion

DOI10.1007/s00440-003-0325-8zbMath1057.62017OpenAlexW1973628224MaRDI QIDQ1885365

Nakahiro Yoshida

Publication date: 28 October 2004

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-003-0325-8

zbMATH Keywords

Malliavin calculusstochastic differential equationssupport theoremasymptotic expansionspartial mixing

Mathematics Subject Classification ID

Related Items (15)

Third-order asymptotic expansion of \(M\)-estimators for diffusion processes ⋮ Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps ⋮ High order asymptotic expansion for Wiener functionals ⋮ Model Selection for Volatility Prediction ⋮ Edgeworth expansions for volatility models ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Contrast-based information criterion for ergodic diffusion processes from discrete observations ⋮ Edgeworth expansion for ergodic diffusions ⋮ Moment estimation for ergodic diffusion processes ⋮ Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains ⋮ Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model ⋮ Asymptotic expansion of Skorohod integrals ⋮ Hawkes process and Edgeworth expansion with application to maximum likelihood estimator ⋮ Partial quasi-likelihood analysis ⋮ Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

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