Similar Search Results

Narrow search

Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 3, pp. 189-223

Persistent link: https://www.econbiz.de/10005184579

Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 1, pp. 35-67

Persistent link: https://www.econbiz.de/10005391504

Contrast-based information criterion for ergodic diffusion processes from discrete observations

Uchida, Masayuki - In: Annals of the Institute of Statistical Mathematics 62 (2010) 1, pp. 161-187

Persistent link: https://www.econbiz.de/10008497337

Asymptotic Expansion of M ‐Estimator Over Wiener Space

Sakamoto, Yuji; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10005616057

Martingale expansion in mixed normal limit

Yoshida, Nakahiro - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 887-933

The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived by Yoshida [28] as an application of the martingale expansion. The expansion for the...

Persistent link: https://www.econbiz.de/10011065030