Quasi-likelihood analysis for adaptive estimation of a degenerate diffusion process

Published 23 Feb 2024 in math.ST and stat.TH | (2402.15256v2)

Abstract: The adaptive quasi-likelihood analysis is developed for a degenerate diffusion process. Asymptotic normality and moment convergence are proved for the quasi-maximum likelihood estimators and quasi-Bayesian estimators, in the adaptive scheme.

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