Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process
Statistics Theory
2024-06-10 v2 Statistics Theory
Abstract
The adaptive quasi-likelihood analysis is developed for a degenerate diffusion process. Asymptotic normality and moment convergence are proved for the quasi-maximum likelihood estimators and quasi-Bayesian estimators, in the adaptive scheme.
Cite
@article{arxiv.2402.15256,
title = {Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process},
author = {Arnaud Gloter and Nakahiro Yoshida},
journal= {arXiv preprint arXiv:2402.15256},
year = {2024}
}