Minimum density power divergence estimator for diffusion processes
type: Item
instance of: scholarly article
title: Minimum density power divergence estimator for diffusion processes
zbMATH Open document ID: 1441.62219
author: Sangyeol Lee
author: Junmo Song
published in: Annals of the Institute of Statistical Mathematics
publication date: 2013-01-28T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62F35
zbMATH DE Number: 6131990
zbMATH Keywords: diffusion processes
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: minimum density power divergence estimator
zbMATH Keywords: discretely observed sample
zbMATH Keywords: robustness
MaRDI profile type: Publication
full work available at URL: s10463-012-0366-9
OpenAlex ID: W1987188402
cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
cites work: Robust and efficient estimation by minimising a density power divergence
cites work: Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
cites work: Minimum Hellinger distance estimates for parametric models
cites work: Minimum distance density-based estimation
cites work: Estimation of the coefficients of a diffusion from discrete observations
cites work: Approximate discrete-time schemes for statistics of diffusion processes
cites work: On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
cites work: Q3911791
cites work: Q3920437
cites work: Estimation of an Ergodic Diffusion from Discrete Observations
cites work: Statistical inference for ergodic diffusion processes.
cites work: Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
cites work: Q4947392
cites work: Minimum Hellinger Distance Estimation for the Analysis of Count Data
cites work: Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
cites work: Estimation for diffusion processes from discrete observation
DOI: 10.1007/S10463-012-0366-9
description: scientific article; zbMATH DE number 6131990