Contrast-based information criterion for ergodic diffusion processes from discrete observations

Annals of the Institute of Statistical Mathematics

Volumn 62, Issue 1, 2010, Pages 161-187

  Uchida, Masayuki ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

Akaike's information criteria; Discrete time observation; Large deviation inequality; Malliavin calculus; Maximum contrast estimator; Model selection

Indexed keywords

DISCRETE TIME OBSERVATION; INFORMATION CRITERION; LARGE DEVIATIONS; MALLIAVIN CALCULUS; MODEL SELECTION;

CALCULATIONS;

DIFFUSION;

EID: 77950690447     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-009-0245-1     Document Type: Article

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