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http://dx.doi.org/10.5351/CKSS.2007.14.2.267

Minimum Density Power Divergence Estimator for Diffusion Parameter in Discretely Observed Diffusion Processes  

Song, Jun-Mo (Department of Statistics, Seoul National University)
Lee, Sang-Yeol (Department of Statistics, Seoul National University)
Na, Ok-Young (Department of Statistics, Seoul National University)
Kim, Hyo-Jung (Department of Statistics, Seoul National University)
Publication Information
Communications for Statistical Applications and Methods / v.14, no.2, 2007 , pp. 267-280 More about this Journal
Abstract
In this paper, we consider the robust estimation for diffusion processes when the sample is observed discretely. As a robust estimator, we consider the minimizing density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE for diffusion process is weakly consistent. A simulation study demonstrates the robustness of the MDPDE.
Keywords
ergodic diffusion processes; Brownian motion; minimum density power divergence estimator; robustness;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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