Quasi-likelihood analysis of an ergodic diffusion plus noise
Statistics Theory
2019-04-03 v4 Methodology
Statistics Theory
Abstract
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and drift parameters are introduced and the polynomial-type large deviation inequalities for those quasi-likelihoods are shown to see the convergence of moments for those estimators.
Cite
@article{arxiv.1806.09401,
title = {Quasi-likelihood analysis of an ergodic diffusion plus noise},
author = {Shogo H. Nakakita and Masayuki Uchida},
journal= {arXiv preprint arXiv:1806.09401},
year = {2019}
}