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arxiv: 1806.09401 · v4 · pith:DP7G46RXnew · submitted 2018-06-25 · 🧮 math.ST · stat.ME· stat.TH

Quasi-likelihood analysis of an ergodic diffusion plus noise

classification 🧮 math.ST stat.MEstat.TH
keywords diffusionadaptiveergodicestimatorsnoisequasi-likelihoodthoseanalysis
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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.

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