Masayuki Uchida, Osaka University


Title(tentative): Adaptive estimation of discretely observed ergodic diffusions

Abstract(tentative):
We consider the adaptive estimation of both drift and 
diffusion coefficient parameters for an ergodic diffusion
process based on discrete observations. Two kinds of
the adaptive maximum likelihood type estimators
are proposed and asymptotic properties of
the adaptive estimators, including convergence of moments,
are obtained.