Edgeworth expansion for ergodic diffusions

DOI10.1007/s00440-007-0097-7zbMath1154.60018OpenAlexW1972651645MaRDI QIDQ948933

Masaaki Fukasawa

Publication date: 16 October 2008

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-007-0097-7

zbMATH Keywords

additive functionalsergodic diffusionsEdgeworth expansion

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Related Items (6)

UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ Edgeworth expansions for volatility models ⋮ Asymptotic analysis for stochastic volatility: martingale expansion ⋮ Edgeworth expansion for ergodic diffusions ⋮ Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains ⋮ Second-order asymptotic expansion for a non-synchronous covariation estimator

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