Moment estimation for ergodic diffusion processes
Statistics Theory
2011-11-10 v1 Statistics Theory
Abstract
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an asymptotically efficient estimator of the moment type functional or of a parameter which has a one-to-one correspondence to such a functional. Next, we clarify a higher order property of the moment type estimator by the Edgeworth expansion of the distribution function.
Cite
@article{arxiv.0711.3957,
title = {Moment estimation for ergodic diffusion processes},
author = {Yury A. Kutoyants and Nakahiro Yoshida},
journal= {arXiv preprint arXiv:0711.3957},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.3150/07-BEJ1040 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)