Truncated Dynamics and Estimation of Diffusion Equations

We study inference in continuous and discrete processes and propose new estimation procedures. Our approach consists on truncating the initial process what simplifies the estimation while preventing all relevant properties of the infinitesimal generator. For diffusion processes, nonparametric estimation of the drift and volatility are derived. These estimators are consistent and shown to be more fficient thet the existng methods.

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Year of publication:	1997
Authors:	Darolles, S. ; Gourieroux, C.
Subject:	EVALUATION

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Type of publication:	Book / Working Paper
Notes:	43 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641169