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We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequality for the quasi likelihood random field. Then it becomes crucial to prove nondegeneracy of a key index χ0. By...
Persistent link: https://www.econbiz.de/10011065095
Persistent link: https://www.econbiz.de/10011800345
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...
Persistent link: https://www.econbiz.de/10010785363