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Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process

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  • Mathieu Kessler

Abstract

We consider a one‐dimensional diffusion process X, with ergodic property, with drift b(x, θ) and diffusion coefficient a(x, θ) depending on an unknown parameter θ that may be multidimensional. We are interested in the estimation of θ and dispose, for that purpose, of a discretized trajectory, observed at n equidistant times ti = iΔ, i = 0, ..., n. We study a particular class of estimating functions of the form ∑f(θ, Xti−1) which, under the assumption that the integral of f with respect to the invariant measure is null, provide us with a consistent and asymptotically normal estimator. We determine the choice of f that yields the estimator with minimum asymptotic variance within the class and indicate how to construct explicit estimating functions based on the generator of the diffusion. Finally the theoretical study is completed with simulations.

Suggested Citation

  • Mathieu Kessler, 2000. "Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 65-82, March.
    • Handle: RePEc:bla:scjsta:v:27:y:2000:i:1:p:65-82
    DOI: 10.1111/1467-9469.00179
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    Cited by:

    1. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 390-455.
    2. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
    3. Alessandro Gregorio & Stefano Iacus, 2008. "Parametric estimation for the standard and geometric telegraph process observed at discrete times," Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 249-263, October.
    4. Liang-Ching Lin & Sangyeol Lee & Meihui Guo, 2014. "The Bickel–Rosenblatt test for continuous time stochastic volatility models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(1), pages 195-218, March.
    5. Jean Jacod & Michael Sørensen, 2018. "A review of asymptotic theory of estimating functions," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 415-434, July.
    6. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    7. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2004, January-A.
    8. Guy, Romain & Larédo, Catherine & Vergu, Elisabeta, 2014. "Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 51-80.
    9. Shibin Zhang, 2011. "Transition Law-based Simulation of Generalized Inverse Gaussian Ornstein–Uhlenbeck Processes," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 619-656, September.
    10. Friedrich Hubalek & Petra Posedel, 2008. "Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models," Papers 0807.3479, arXiv.org.
    11. Lin, Liang-Ching & Lee, Sangyeol & Guo, Meihui, 2013. "Goodness-of-fit test for stochastic volatility models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 473-498.
    12. Weiwei Guo & Lingfei Li, 2019. "Parametric inference for discretely observed subordinate diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 77-110, April.
    13. Helle Sørensen, 2002. "Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey," Discussion Papers 02-08, University of Copenhagen. Department of Economics.
    14. Friedrich Hubalek & Petra Posedel, 2011. "Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 917-932.
    15. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 24, July-Dece.
    16. Andreas Neuenkirch & Samy Tindel, 2014. "A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 99-120, April.
    17. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    18. Genon-Catalot, Valentine & Larédo, Catherine, 2021. "Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 513-548.
    19. Penev, Spiridon & Peng, Hanxiang & Schick, Anton & Wefelmeyer, Wolfgang, 2004. "Efficient estimators for functionals of Markov chains with parametric marginals," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 335-345, February.
    20. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
    21. A. M. Kulik & N. N. Leonenko & I. Papić & N. Šuvak, 2020. "Parameter Estimation for Non-Stationary Fisher-Snedecor Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1023-1061, September.
    22. Salima El Kolei & Fabien Navarro, 2022. "Contrast estimation for noisy observations of diffusion processes via closed-form density expansions," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 303-336, July.

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