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Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation

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  • D. Loukianova
  • O. Loukianov

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  • D. Loukianova & O. Loukianov, 2008. "Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation," Statistical Inference for Stochastic Processes, Springer, vol. 11(2), pages 107-121, June.
    • Handle: RePEc:spr:sistpr:v:11:y:2008:i:2:p:107-121
    DOI: 10.1007/s11203-007-9010-3
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    References listed on IDEAS

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    1. Paul Doukhan & Patrice Bertail & Philippe Soulier, 2006. "Dependence in Probability and Statistics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00268232, HAL.
    2. Harry van Zanten, 2003. "On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(3), pages 443-458, September.
    3. Paul Doukhan & Patrice Bertail & Philippe Soulier, 2006. "Dependence in Probability and Statistics," Post-Print hal-00268232, HAL.
    4. Khasminskii, R., 2001. "Limit distributions of some integral functionals for null-recurrent diffusions," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 1-9, March.
    5. R. Höpfner & Yu. Kutoyants, 2003. "On a Problem of Statistical Inference in Null Recurrent Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 6(1), pages 25-42, January.
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    Cited by:

    1. Kanaya, Shin, 2017. "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, vol. 33(4), pages 874-914, August.
    2. Eva Löcherbach & Dasha Loukianova, 2012. "Deviation Inequalities for Centered Additive Functionals of Recurrent Harris Processes Having General State Space," Journal of Theoretical Probability, Springer, vol. 25(1), pages 231-261, March.

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