Hybrid estimators for stochastic differential equations from reduced data

Yusuke Kaino and Masayuki Uchida ()
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Yusuke Kaino: Osaka University
Masayuki Uchida: Osaka University

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 2, No 11, 435-454

Abstract: Abstract We treat parametric inference for unknown parameters of stochastic differential equations from discrete observations from the viewpoint of computational cost. Following Kamatani et al. (Bull Inf Cybern 48:19–35, 2016) and Kaino and Uchida (Hybrid estimators for ergodic diffusion processes from thinned data, 2018), we present the asymptotic results of the multi-step estimators with the initial Bayes type estimators for both ergodic and non-ergodic diffusion type processes. The initial Bayes type estimators are constructed by means of both the reduced data and the thinned data obtained from the full data. Some examples and simulation results are also given.

Keywords: Bayes type estimator; Convergence of moments; Ergodic diffusion process; Multi-step estimator; Non-ergodic diffusion process; Quasi maximum likelihood estimator; Reduced data; Thinned data (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11203-018-9184-x

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