Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866929376942096384 |
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| author | Gloter, Arnaud Yoshida, Nakahiro |
| author_facet | Gloter, Arnaud Yoshida, Nakahiro |
| contents | The adaptive quasi-likelihood analysis is developed for a degenerate diffusion process. Asymptotic normality and moment convergence are proved for the quasi-maximum likelihood estimators and quasi-Bayesian estimators, in the adaptive scheme. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_15256 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process Gloter, Arnaud Yoshida, Nakahiro Statistics Theory The adaptive quasi-likelihood analysis is developed for a degenerate diffusion process. Asymptotic normality and moment convergence are proved for the quasi-maximum likelihood estimators and quasi-Bayesian estimators, in the adaptive scheme. |
| title | Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2402.15256 |