Quasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations
Statistics Theory
2012-12-21 v1 Statistics Theory
Abstract
We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we prove that the quasi-maximum likelihood estimator and the Bayes type estimator are consistent and asymptotically mixed normal when the sampling frequency of the nonsynchronous data becomes large.
Cite
@article{arxiv.1212.4911,
title = {Quasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations},
author = {Teppei Ogihara and Nakahiro Yoshida},
journal= {arXiv preprint arXiv:1212.4911},
year = {2012}
}
Comments
46 pages