|
|||||
|
|
On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M-estimators |
|
| Authors: | Harry van Zanten |
| Institution: | Free University Amsterdam |
| Abstract: | Abstract. 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. |
| Keywords: | empirical process ergodic diffusion process maximal inequality maximum likelihood estimator M-estimator rate of convergence |