Asymptotic behavior of M-estimator and related random field for diffusion process |
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| Authors: | Nakahiro Yoshida |
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| Affiliation: | (1) Department of Applied Mathematics, Faculty of Engineering Science, Osaka University, 560 Toyonaka, Osaka, Japan;(2) Present address: The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu,Minato-ku, 106 Tokyo, Japan |
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| Abstract: | The M-estimate which maximizes a positive stochastic process Q is treated for multidimensional diffusion models. The convergence in distribution of the process of ratio of Q's after normalizing is proved. The asymptotic behavior of M-estimates is stated. We present the asymptotic variance in general cases and in estimation by misspecified models. |
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| Keywords: | Diffusion process M-estimator |
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