A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times
In this note we investigate asymptotic properties of an estimator, called the Euler estimator, which is obtained by maximizing the likelihood function of the process discretized by the Euler method. By linking the Euler estimator of the coefficients of the drift function of a stochastic differential equation with the least square estimator and the maximum likelihood estimator based on the likelihood ratio approach, it is shown that the three estimators are equivalent. Furthermore, it is also shown that the Euler estimator of a coefficient of the diffusion term has consistency.
Year of publication: |
1997
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Authors: | Shoji, Isao |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 36.1997, 2, p. 153-159
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Publisher: |
Elsevier |
Keywords: | Stochastic differential equation Euler discretization Maximum likelihood estimation |
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