On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M‐estimators

Harry van Zanten

Scandinavian Journal of Statistics, 2003, vol. 30, issue 3, 443-458

Abstract: Abstract. This paper contributes to the development of empirical process theory for ergodic diffusions. We prove an entropy‐type maximal inequality for the increments of the empirical process of an ergodic diffusion. The inequality is used to study the rate of convergence of M‐estimators.

Date: 2003
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:30:y:2003:i:3:p:443-458

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