ASYMPTOTIC-BEHAVIOR OF M-ESTIMATOR AND RELATED RANDOM FIELD FOR DIFFUSION PROCESS

被引：35

作者：

YOSHIDA, N ^{[1
]}

机构：

[1] OSAKA UNIV,FAC ENGN SCI,DEPT APPL MATH,TOYONAKA,OSAKA 560,JAPAN

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1990年 / 42卷 / 02期

关键词：

Diffusion process; M-estimator;

D O I：

10.1007/BF00050834

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The M-estimate which maximizes a positive stochastic process Q is treated for multidimensional diffusion models. The convergence in distribution of the process of ratio of Q's after normalizing is proved. The asymptotic behavior of M-estimates is stated. We present the asymptotic variance in general cases and in estimation by misspecified models. © 1990 The Institute of Statistical Mathematics.

引用

页码：221 / 251

页数：31

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