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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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Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:aistmt:v:62:y:2010:i:1:p:161-187
    DOI: 10.1007/s10463-009-0245-1
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    File URL: http://hdl.handle.net/10.1007/s10463-009-0245-1
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    References listed on IDEAS

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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. 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.
    3. Nobuo Inagaki & Yosihiko Ogata, 1975. "The weak convergence of likelihood ratio random fields and its applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 27(1), pages 391-419, December.
    4. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Kengo Kamatani & Masayuki Uchida, 2015. "Hybrid multi-step estimators for stochastic differential equations based on sampled data," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 177-204, July.
    2. Takayuki Fujii & Masayuki Uchida, 2014. "AIC type statistics for discretely observed ergodic diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 267-282, October.
    3. Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.
    4. Masayuki Uchida & Nakahiro Yoshida, 2014. "Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 181-219, July.
    5. repec:eee:ecosta:v:5:y:2018:i:c:p:171-188 is not listed on IDEAS
    6. 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.

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