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  • Search: subject:"Maximum likelihood type estimator"
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Asymptotic mixed normality 1 Bayes type estimator 1 Convergence of moments 1 Discrete time observation 1 Maximum likelihood type estimator 1 Polynomial type large deviation inequality 1
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Uchida, Masayuki 1 Yoshida, Nakahiro 1
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Stochastic Processes and their Applications 1
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Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
Uchida, Masayuki; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2851-2876
We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequality for the quasi likelihood random field. Then it becomes crucial to prove nondegeneracy of a key index χ0. By...
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