Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527362 | Stochastic Processes and their Applications | 2014 | 55 Pages |
Abstract
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 normal when the sampling frequency of the nonsynchronous data becomes large.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Teppei Ogihara, Nakahiro Yoshida,