Robust Estimation of Dispersion Parameter in Discretely Observed Diffusion Processes

DOI10.5705/SS.2014.162zbMath1356.62155OpenAlexW2572376719MaRDI QIDQ2960521

Junmo Song

Publication date: 17 February 2017

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8617cc962504243f93d04bc2480aabee4b2c0c88

zbMATH Keywords

diffusion processesrobust estimationdispersion parameterminimum density power divergence estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach

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