論文

査読有り
2015年11月

Local asymptotic mixed normality property for nonsynchronously observed diffusion processes

BERNOULLI
  • Teppei Ogihara

21
4
開始ページ
2024
終了ページ
2072
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.3150/14-BEJ634
出版者・発行元
INT STATISTICAL INST

We prove the local asymptotic mixed normality (LAMN) property for a family of probability measures defined by parametrized diffusion processes with nonsynchronous observations. We assume that observation times of processes are independent of processes and we will study asymptotics when the maximum length of observation intervals goes to zero in probability. We also prove that the quasi-maximum likelihood estimator and the Bayes-type estimator proposed in Ogihara and Yoshida (Stochastic Process. Appl. 124 (2014) 2954-3008) are asymptotically efficient.

リンク情報
DOI
https://doi.org/10.3150/14-BEJ634
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000361641900003&DestApp=WOS_CPL
ID情報
  • DOI : 10.3150/14-BEJ634
  • ISSN : 1350-7265
  • eISSN : 1573-9759
  • Web of Science ID : WOS:000361641900003

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