Third-order asymptotic expansion of M-estimators for diffusion processes

Annals of the Institute of Statistical Mathematics

Volumn 61, Issue 3, 2009, Pages 629-661

  Sakamoto, Yuji ^a   Yoshida, Nakahiro ^b,c  

^a KOBE UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

^c JAPAN SCIENCE AND TECHNOLOGY AGENCY   (Japan)

Author keywords

Asymptotic expansion; Diffusion process; M estimator

Indexed keywords

ASYMPTOTIC EXPANSION; ASYMPTOTIC PROPERTIES; CUMULANTS; DIFFUSION PROCESS; DRIFT FUNCTIONS; M-ESTIMATOR; M-ESTIMATORS; MIXING PROCESS; OBSERVED DATA; STOCHASTIC INTEGRAL; THIRD ORDER; UNKNOWN PARAMETERS;

DIFFUSION; ESTIMATION;

ASYMPTOTIC ANALYSIS;

EID: 68649093023     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-008-0190-4     Document Type: Article

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