Local asymptotic mixed normality property for nonsynchronously observed diffusion processes

DOI10.3150/14-BEJ634zbMath1337.60194arXiv1310.5304OpenAlexW1954272830MaRDI QIDQ888473

Teppei Ogihara

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5304

zbMATH Keywords

parameter estimationMalliavin calculusasymptotic efficiencydiffusion processestransition densitieslocal asymptotic mixed normalitynon-synchronous observationsBayes-type estimatorquasi-likelihood estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

Quasi-likelihood analysis and its applications ⋮ Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ Asymptotically efficient estimation for diffusion processes with nonsynchronous observations ⋮ Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise ⋮ Estimation of Correlation Between Latent Processes ⋮ On the asymptotic properties of Bayes-type estimators with general loss functions

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