Efficient drift parameter estimation for ergodic solutions of backward SDEs

Teppei Ogihara and Mitja Stadje

Scandinavian Journal of Statistics, 2024, vol. 51, issue 3, 1181-1205

Abstract: We derive consistency and asymptotic normality results for quasi‐maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous‐time setting. The special feature of our analysis is that the stochastic integral part is unobserved and nonparametric. Additionally, the drift may depend on the (unknown and unobserved) stochastic integrand. Our results hold for ergodic semi‐parametric diffusions and backward SDEs. Simulation studies confirm that the methods proposed yield good convergence results.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/sjos.12709

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:51:y:2024:i:3:p:1181-1205

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 ().