Ogihara, Teppei; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 2954-3008
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...