Details

Autor(en) / Beteiligte

• Kaino, Yusuke
• Nakakita, Shogo H.
• Uchida, Masayuki

Titel

Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

Ist Teil von

• Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems, 2020-04, Vol.23 (1), p.171-198

Ort / Verlag

Dordrecht: Springer Netherlands

Erscheinungsjahr

2020

Quelle

SpringerLink

Beschreibungen/Notizen

• We consider parametric estimation for ergodic diffusion processes with noisy sampled data based on the hybrid method, that is, the multi-step estimation with the initial Bayes type estimators in order to select proper initial values for optimisation of the quasi likelihood function. The asymptotic properties of the initial Bayes type estimators and the hybrid multi-step estimators are shown, and a concrete example and the simulation results are given.