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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