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Efficient Density Estimation for Ergodic Diffusion Processes

Kutoyants, Yu. - In: Statistical Inference for Stochastic Processes 1 (1998) 2, pp. 131-155

Persistent link: https://www.econbiz.de/10005391490

AIC type statistics for discretely observed ergodic diffusion processes

Fujii, Takayuki; Uchida, Masayuki - In: Statistical Inference for Stochastic Processes 17 (2014) 3, pp. 267-282

We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties...

Persistent link: https://www.econbiz.de/10010949407

On Uniform Laws of Large Numbers for Ergodic Diffusions and Consistency of Estimators

Zanten, Harry Van - In: Statistical Inference for Stochastic Processes 6 (2003) 2, pp. 199-213

Persistent link: https://www.econbiz.de/10005616008

Information Criteria in Model Selection for Mixing Processes

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 4 (2001) 1, pp. 73-98

Persistent link: https://www.econbiz.de/10005616040

Semiparametric Estimation of the State of a Dynamical System with Small Noise

Iacus, Stefano - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 277-288

Persistent link: https://www.econbiz.de/10005616052

Asymptotic Expansion of M ‐Estimator Over Wiener Space

Sakamoto, Yuji; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10005616057

On Castellana–Leadbetter's Condition for Diffusion Density Estimation

Veretennikov, A. - In: Statistical Inference for Stochastic Processes 2 (1999) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10005169125

Nonparametric Inference for a Class of Stochastic Partial Differential Equations II

Rao, B. - In: Statistical Inference for Stochastic Processes 4 (2001) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10005391491

Can We Estimate the Density's Derivative with Suroptimal Rate?

Lucas, A. - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10005391494

On Estimating a Dynamic Function of a Stochastic System with Averaging

Liptser, R.; Spokoiny, V. - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 225-249

Persistent link: https://www.econbiz.de/10005391507