, Volume 65, Issue 2, pp 213-236
Date: 21 Jul 2012

Minimum density power divergence estimator for diffusion processes

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access


In this paper, we consider the robust estimation for a certain class of diffusion processes including the Ornstein–Uhlenbeck process based on discrete observations. As a robust estimator, we consider the minimum density power divergence estimator (MDPDE) proposed by Basu et al. (Biometrika 85:549–559, 1998). It is shown that the MDPDE is consistent and asymptotically normal. A simulation study demonstrates the strong robustness of the MDPDE.