Asymptotics for theLp-deviation of the variance estimator under diffusion

DOI10.1051/ps:2004005zbMath1186.60080OpenAlexW1994431499MaRDI QIDQ4671812

Paul Doukhan, José Rafael León

Publication date: 26 April 2005

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2004__8__132_0

zbMATH Keywords

central limit theoremkernelVariance estimator\(L^p\)-deviation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Stochastic integrals (60H05) Markov processes: hypothesis testing (62M02) (L^p)-limit theorems (60F25)

Related Items

Deviation of orderpfor estimators of the variance in first-order stochastic differential equation (SDE)

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