Parameter estimation of one-dimensional diffusion process by minimum Hellinger distance method

DOI10.1515/ROSE-2013-0019zbMath1281.62177OpenAlexW2320718855MaRDI QIDQ2873161

Julien Apala N'drin, Ouagnina Hili

Publication date: 23 January 2014

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2013-0019

zbMATH Keywords

consistencyasymptotic normalitygeometric ergodicity\(\alpha\)-mixing processHellinger distance estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15)

Related Items (6)

Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator ⋮ Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process ⋮ Parameter estimation for diffusion process from perturbed discrete observations ⋮ Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme ⋮ MINIMUM HELLINGER DISTANCE ESTIMATION OF MULTIVARIATE GARCH PROCESSES ⋮ Minimum profile Hellinger distance estimation for semiparametric simple linear regression model

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