Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

Masayuki Uchida

Scandinavian Journal of Statistics, 2004, vol. 31, issue 4, 553-566

Abstract: Abstract. We consider an asymptotically efficient estimator of the drift parameter for a multi‐dimensional diffusion process with small dispersion parameter ɛ. In the situation where the sample path is observed at equidistant times k/n, k = 0, 1, …, n, we study asymptotic properties of an M‐estimator derived from an approximate martingale estimating function as ɛ tends to 0 and n tends to ∞ simultaneously.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9469.2004.00406.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:31:y:2004:i:4:p:553-566

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().