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arXiv · 0711.3957

Moment estimation for ergodic diffusion processes

Yury A. Kutoyants·Nakahiro Yoshida
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Abstract

We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an asymptotically efficient estimator of the moment type functional or of a parameter which has a one-to-one correspondence to such a functional. Next, we clarify a higher order property of the moment type estimator by the Edgeworth expansion of the distribution function.

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Yury A. Kutoyants, Nakahiro Yoshida. 2007-11-26. Moment estimation for ergodic diffusion processes. https://doi.org/10.3150/07-bej1040

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