Lee, Sangyeol; Song, Junmo - In: Annals of the Institute of Statistical Mathematics 65 (2013) 2, pp. 213-236
In this paper, we consider the robust estimation for a certain class of diffusion processes including the Ornstein–Uhlenbeck process based on discrete observations. As a robust estimator, we consider the minimum density power divergence estimator (MDPDE) proposed by Basu et al. (Biometrika...
