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On Empirical Processes for Ergodic Diffusions and Rates of Convergence of M ‐estimators
Author(s) -
Zanten Harry
Publication year - 2003
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00341
Subject(s) - mathematics , ergodic theory , estimator , stationary ergodic process , rate of convergence , convergence (economics) , diffusion process , weak convergence , inequality , econometrics , statistics , mathematical analysis , economics , invariant measure , channel (broadcasting) , economy , computer security , service (business) , economic growth , computer science , electrical engineering , asset (computer security) , engineering
. 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.