Bernoulli

  • Bernoulli
  • Volume 13, Number 4 (2007), 933-951.

Moment estimation for ergodic diffusion processes

Yury A. Kutoyants and 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.

Article information

Source
Bernoulli, Volume 13, Number 4 (2007), 933-951.

Dates
First available in Project Euclid: 9 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1194625596

Digital Object Identifier
doi:10.3150/07-BEJ1040

Mathematical Reviews number (MathSciNet)
MR2364220

Zentralblatt MATH identifier
1129.62074

Keywords
asymptotic efficiency asymptotic expansions diffusion process moment estimation nonparametric estimation

Citation

Kutoyants, Yury A.; Yoshida, Nakahiro. Moment estimation for ergodic diffusion processes. Bernoulli 13 (2007), no. 4, 933--951. doi:10.3150/07-BEJ1040. https://projecteuclid.org/euclid.bj/1194625596


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