Quasi-likelihood analysis for nonsynchronously observed diffusion processes

DOI10.1016/j.spa.2014.03.014zbMath1329.60283arXiv1512.01619OpenAlexW1987858734MaRDI QIDQ740191

Teppei Ogihara, Nakahiro Yoshida

Publication date: 2 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01619

zbMATH Keywords

stochastic differential equationsdiffusion processesquasi-likelihood analysisasymptotic mixed normalitynonsynchronous observationsquasi-maximum likelihood estimatorsBayes type estimatorspolynomial type large deviation inequality

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

Related Items (13)

Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Quasi-likelihood analysis and its applications ⋮ Hybrid estimators for stochastic differential equations from reduced data ⋮ Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering ⋮ Local asymptotic mixed normality property for nonsynchronously observed diffusion processes ⋮ Asymptotically efficient estimation for diffusion processes with nonsynchronous observations ⋮ Unnamed Item ⋮ Misspecified diffusion models with high-frequency observations and an application to neural networks ⋮ Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise ⋮ Global jump filters and quasi-likelihood analysis for volatility ⋮ On the asymptotic properties of Bayes-type estimators with general loss functions ⋮ Partial quasi-likelihood analysis

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