Title of article :
Quasi-likelihood analysis for nonsynchronously observed diffusion processes
Author/Authors :
Ogihara، نويسنده , , Teppei and Yoshida، نويسنده , , Nakahiro، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we prove that the quasi-maximum likelihood estimator and the Bayes type estimator are consistent and asymptotically mixed normal when the sampling frequency of the nonsynchronous data becomes large.
Keywords :
Nonsynchronous observations , Asymptotic mixed normality , Polynomial type large deviation inequality , Bayes type estimators , Diffusion processes , Quasi-maximum likelihood estimators , Quasi-likelihood analysis
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications