AIC type statistics for discretely observed ergodic diffusion processes

DOI10.1007/s11203-014-9101-xzbMath1298.62042OpenAlexW1991992032MaRDI QIDQ466057

Masayuki Uchida, Takayuki Fujii

Publication date: 24 October 2014

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-014-9101-x

zbMATH Keywords

model selectiondiffusion processdiscrete observationsadaptive estimationAkaike's information criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (4)

Hybrid estimators for stochastic differential equations from reduced data ⋮ Unnamed Item ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Adaptive test for ergodic diffusions plus noise

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