Nonparametric Estimation of Scalar Diffusions Based on Low Frequency Data
Nonparametric Estimation of Scalar Diffusions Based on Low Frequency Data
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Hayward, CA: Institute of Mathematical Statistics
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English
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Hayward, CA: Institute of Mathematical Statistics
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We study the problem of estimating the coefficients of a diffusion (Xt, t ≥ 0); the estimation is based on discrete data XnΔ, n = 0,1,..., N. The sampling frequency Δ-1is constant, and asymptotics are taken as the number N of observations tends to infinity. We prove that the problem of estimating both the diffusion coefficient (the volatility) and...
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Nonparametric Estimation of Scalar Diffusions Based on Low Frequency Data
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aos_1098883788
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aos_1098883788
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ISSN
0090-5364
E-ISSN
2168-8966
DOI
10.1214/009053604000000797
