scholarly journals MINIMUM CONTRAST ESTIMATION FOR DISCRETELY OBSERVED DIFFUSION PROCESSES WITH SMALL DISPERSION PARAMETER

10.5109/12577 ◽  
2004 ◽  
Vol 36 ◽  
pp. 35-49
Author(s):  
Masayuki Uchida
Keyword(s):  
Diffusion Processes ◽  
Dispersion Parameter ◽  
Minimum Contrast ◽  
Contrast Estimation ◽  
Small Dispersion

Minimum contrast estimation in diffusion processes

1979 ◽  
Vol 16 (01) ◽  
pp. 65-75 ◽  
Author(s):  
Vĕra Lánska
Keyword(s):  
Continuous Time ◽  
Unknown Parameter ◽  
Strong Consistency ◽  
Asymptotic Theory ◽  
Diffusion Processes ◽  
Compact Set ◽  
Real Numbers ◽  
Minimum Contrast ◽  
Contrast Estimation ◽  
Consistency And Asymptotic Normality

This paper is concerned with the asymptotic theory of estimates of an unknown parameter in continuous-time Markov processes, which are described by non-linear stochastic differential equations. The maximum likelihood estimate and the minimum contrast estimate are investigated. For these estimates strong consistency and asymptotic normality are proved. The unknown parameter is assumed to take its values either in an open or in a compact set of real numbers.

Minimum contrast estimation in diffusion processes

1979 ◽  
Vol 16 (1) ◽  
pp. 65-75 ◽  
Author(s):  
Vĕra Lánska
Keyword(s):  
Continuous Time ◽  
Unknown Parameter ◽  
Strong Consistency ◽  
Asymptotic Theory ◽  
Diffusion Processes ◽  
Compact Set ◽  
Real Numbers ◽  
Minimum Contrast ◽  
Contrast Estimation ◽  
Consistency And Asymptotic Normality

This paper is concerned with the asymptotic theory of estimates of an unknown parameter in continuous-time Markov processes, which are described by non-linear stochastic differential equations. The maximum likelihood estimate and the minimum contrast estimate are investigated. For these estimates strong consistency and asymptotic normality are proved. The unknown parameter is assumed to take its values either in an open or in a compact set of real numbers.

Minimum-contrast estimation with additional information

1991 ◽  
Vol 53 (6) ◽  
pp. 547-551 ◽  
Author(s):  
M. V. Gal'chenko ◽  
V. A. Gurevich
Keyword(s):  
Additional Information ◽  
Minimum Contrast ◽  
Contrast Estimation

scholarly journals A central limit result in the wavelet domain for minimum contrast estimation of fractal random fields

2013 ◽  
Vol 58 (3) ◽  
pp. 550-583
Author(s):  
M Ruiz-Medina ◽  
M Ruiz-Medina ◽  
Rosa Maria Crujeiras ◽  
Rosa Maria Crujeiras
Keyword(s):  
Central Limit ◽  
Random Fields ◽  
Wavelet Domain ◽  
Minimum Contrast ◽  
Contrast Estimation ◽  
Limit Result

scholarly journals On the Structure and Estimation of Reflection Positive Processes

2008 ◽  
Vol 45 (1) ◽  
pp. 150-162
Author(s):  
R. McVinish
Keyword(s):  
Time Series ◽  
Prediction Error ◽  
Error Variance ◽  
Second Order ◽  
Prediction Error Variance ◽  
Minimum Contrast ◽  
Contrast Estimation ◽  
Special Cases ◽  
One Step ◽  
The One

The class of processes formed as the aggregation of Ornstein-Uhlenbeck processes has proved useful in modeling time series from a number of areas and includes several interesting special cases. This paper examines the second-order properties of this class. Bounds on the one-step prediction error variance are proved and consistency of the minimum contrast estimation is demonstrated.

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