2015年11月
Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
BERNOULLI
- 巻
- 21
- 号
- 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
- ID情報
-
- DOI : 10.3150/14-BEJ634
- ISSN : 1350-7265
- eISSN : 1573-9759
- Web of Science ID : WOS:000361641900003