Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process

2024/02/23 by Gloter, Arnaud, Yoshida, Nakahiro
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2402.15256

Abstract

The adaptive quasi-likelihood analysis is developed for a degenerate diffusion process. Asymptotic normality and moment convergence are proved for the quasi-maximum likelihood estimators and quasi-Bayesian estimators, in the adaptive scheme.

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