On empirical processes for ergodic diffusions and rates of convergence of M-estimators

被引：0

作者：

Van Zanten, H ^{[1
]}

机构：

[1] Free Univ Amsterdam, Fac Sci, Div Math & Comp Sci, NL-1081 HV Amsterdam, Netherlands

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2003年 / 30卷 / 03期

关键词：

empirical process; ergodic diffusion process; maximal inequality; maximum likelihood estimator; M-estimator; rate of convergence;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper contributes to the development of empirical process theory for ergodic diffusions. We prove an entropy-type maximal inequality for the increments of the empirical process of an ergodic diffusion. The inequality is used to study the rate of convergence of M-estimators.

引用

页码：443 / 458

页数：16

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