IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v61y2009i3p629-661.html
   My bibliography  Save this article

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

Author

Listed:
  • Yuji Sakamoto
  • Nakahiro Yoshida

Abstract

No abstract is available for this item.

Suggested Citation

  • Yuji Sakamoto & Nakahiro Yoshida, 2009. "Third-order asymptotic expansion of M-estimators for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 629-661, September.
    • Handle: RePEc:spr:aistmt:v:61:y:2009:i:3:p:629-661
    DOI: 10.1007/s10463-008-0190-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10463-008-0190-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10463-008-0190-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
    2. Yuji Sakamoto & Nakahiro Yoshida, 2004. "Asymptotic expansion formulas for functionals of ε-Markov processes with a mixing property," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(3), pages 545-597, September.
    3. Masayuki Uchida & Nakahiro Yoshida, 2001. "Information Criteria in Model Selection for Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 73-98, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yoshida, Nakahiro, 2023. "Asymptotic expansion and estimates of Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 176-248.
    2. Tudor, Ciprian A. & Yoshida, Nakahiro, 2023. "High order asymptotic expansion for Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 443-492.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nakahiro Yoshida, 2011. "Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 431-479, June.
    2. Masuda, Hiroki, 2007. "Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 35-56, January.
    3. Yoshida, Nakahiro, 2023. "Asymptotic expansion and estimates of Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 176-248.
    4. Tudor, Ciprian A. & Yoshida, Nakahiro, 2023. "High order asymptotic expansion for Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 443-492.
    5. Shoichi Eguchi & Hiroki Masuda, 2019. "Data driven time scale in Gaussian quasi-likelihood inference," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 383-430, October.
    6. Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.
    7. Yusuke Shimizu, 2017. "Moment convergence of regularized least-squares estimator for linear regression model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(5), pages 1141-1154, October.
    8. Masayuki Uchida, 2010. "Contrast-based information criterion for ergodic diffusion processes from discrete observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 161-187, February.
    9. Anatolii A. Puhalskii, 2003. "On Large Deviation Convergence of Invariant Measures," Journal of Theoretical Probability, Springer, vol. 16(3), pages 689-724, July.
    10. Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
    11. Cayé, Thomas & Herdegen, Martin & Muhle-Karbe, Johannes, 2020. "Scaling limits of processes with fast nonlinear mean reversion," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1994-2031.
    12. Anatolii A. Puhalskii & Michael Jay Stutzer, 2016. "On minimising a portfolio's shortfall probability," Papers 1602.02192, arXiv.org, revised May 2017.
    13. Alexander Veretennikov, 2023. "Polynomial Recurrence for SDEs with a Gradient-Type Drift, Revisited," Mathematics, MDPI, vol. 11(14), pages 1-16, July.
    14. Bal'azs Gerencs'er & Mikl'os R'asonyi, 2020. "Invariant measures for multidimensional fractional stochastic volatility models," Papers 2002.04832, arXiv.org, revised Aug 2021.
    15. Kulik, Alexei & Pavlyukevich, Ilya, 2021. "Moment bounds for dissipative semimartingales with heavy jumps," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 274-308.
    16. Masuda, H. & Yoshida, N., 2005. "Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1167-1186, July.
    17. Masayuki Uchida & Nakahiro Yoshida, 2004. "Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe," Statistical Inference for Stochastic Processes, Springer, vol. 7(1), pages 35-67, March.
    18. Masayuki Uchida & Nakahiro Yoshida, 2001. "Information Criteria in Model Selection for Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 73-98, January.
    19. Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
    20. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:61:y:2009:i:3:p:629-661. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.