Quasi-likelihood analysis for nonsynchronously observed diffusion processes

Teppei Ogihara and Nakahiro Yoshida

Stochastic Processes and their Applications, 2014, vol. 124, issue 9, 2954-3008

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: Asymptotic mixed normality; Bayes type estimators; Diffusion processes; Nonsynchronous observations; Polynomial type large deviation inequality; Quasi-likelihood analysis; Quasi-maximum likelihood estimators (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:9:p:2954-3008

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DOI: 10.1016/j.spa.2014.03.014

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