Quasi-likelihood analysis of an ergodic diffusion plus noise

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.

References in corpus (3)

• On the Poisson equation and diffusion approximation 3
• Adaptive estimation and noise detection for an ergodic diffusion with observation noises
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

Cited by in corpus (1)

• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations