Minimum density power divergence estimator for diffusion processes

In this paper, we consider the robust estimation for a certain class of diffusion processes including the Ornstein–Uhlenbeck process based on discrete observations. As a robust estimator, we consider the minimum density power divergence estimator (MDPDE) proposed by Basu et al. (Biometrika 85:549–559, <CitationRef CitationID="CR2">1998</CitationRef>). It is shown that the MDPDE is consistent and asymptotically normal. A simulation study demonstrates the strong robustness of the MDPDE. Copyright The Institute of Statistical Mathematics, Tokyo 2013