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We study the problem of estimating the coefficients of a diffusion (Xl, t 2: 0); the estimation is based on discrete data Xn . . n = 0, 1, ... ,N. The sampling frequency delta t is constant , and asymptotics arc taken at the number of observations tends to infinity. We prove that the problem of...
Persistent link: https://www.econbiz.de/10010310543
results. Harris recurrence is all that we require to show strong consistency and asymptotic (mixed) normality of the …
Persistent link: https://www.econbiz.de/10011108074
This paper studies the functional estimation of the drift and diffusion functions for recurrent scalar diffusion processes from equally spaced observations using the local polynomial kernel approach. Almost sure convergence and a CLT for the estimators are established as the sampling frequency...
Persistent link: https://www.econbiz.de/10011110307
only ensures consistency of the infinitesimal variance estimator, not of the drift estimator. Additionally, the procedure … satisfy all necessary rate conditions for consistency and asymptotic normality. The suggested statistics rely on a randomized …
Persistent link: https://www.econbiz.de/10011113065
We study the problem of estimating the coefficients of a diffusion (Xl, t 2:: 0); the estimation is based on discrete data Xn . . n = 0, 1, ... ,N. The sampling frequency delta t is constant , and asymptotics arc taken at the number of observations tends to infinity. We prove that the problem of...
Persistent link: https://www.econbiz.de/10010983786