کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527221 958741 2013 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
ترجمه فارسی عنوان
تجزیه و تحلیل احتمال تقریبا غیر قابل انطباق و عدم تولید میدان های تصادفی آماری
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی
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 nature of the sampling setting, χ0 is random. This makes it difficult to apply a naïve sufficient condition, and requires a new machinery. In order to establish a quasi likelihood analysis, we need quantitative estimate of the nondegeneracy of χ0. The existence of a nondegenerate local section of a certain tensor bundle associated with the statistical random field solves this problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 7, July 2013, Pages 2851-2876
نویسندگان
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