Minimum density power divergence estimator for diffusion processes |
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Authors: | Sangyeol Lee Junmo Song |
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Institution: | 1. Department of Statistics, Seoul National University, Seoul, 151-742, Korea 2. Department of Computer Science and Statistics, Jeju National University, Jeju, 690-756, Korea
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Abstract: | In this paper, we consider the robust estimation for a certain class of diffusion processes including the Ornstein–Uhlenbeck process based on discrete observations. As a robust estimator, we consider the minimum density power divergence estimator (MDPDE) proposed by Basu et al. (Biometrika 85:549–559, 1998). It is shown that the MDPDE is consistent and asymptotically normal. A simulation study demonstrates the strong robustness of the MDPDE. |
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