Quasi-likelihood analysis of an ergodic diffusion plus noise

Shogo H. Nakakita; Masayuki Uchida

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arXiv · 1806.09401

Quasi-likelihood analysis of an ergodic diffusion plus noise

Shogo H. Nakakita·Masayuki Uchida

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Abstract

We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and drift parameters are introduced and the polynomial-type large deviation inequalities for those quasi-likelihoods are shown to see the convergence of moments for those estimators.

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Shogo H. Nakakita, Masayuki Uchida. 2018-06-25. Quasi-likelihood analysis of an ergodic diffusion plus noise. https://arxiv.org/abs/1806.09401

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