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


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  • Masayuki Uchida


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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 62 (2010)
    Issue (Month): 1 (February)
    Pages: 161-187

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    Handle: RePEc:spr:aistmt:v:62:y:2010:i:1:p:161-187

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


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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Alexandros Beskos & Omiros Papaspiliopoulos & Gareth O. Roberts & Paul Fearnhead, 2006. "Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 333-382.
    2. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
    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.
    4. Nobuo Inagaki & Yosihiko Ogata, 1975. "The weak convergence of likelihood ratio random fields and its applications," Annals of the Institute of Statistical Mathematics, Springer, vol. 27(1), pages 391-419, December.
    5. 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.
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    Cited by:
    1. Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
    2. Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.


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