EconPapers    
Economics at your fingertips  
 

A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times

Isao Shoji

Statistics & Probability Letters, 1997, vol. 36, issue 2, 153-159

Abstract: In this note we investigate asymptotic properties of an estimator, called the Euler estimator, which is obtained by maximizing the likelihood function of the process discretized by the Euler method. By linking the Euler estimator of the coefficients of the drift function of a stochastic differential equation with the least square estimator and the maximum likelihood estimator based on the likelihood ratio approach, it is shown that the three estimators are equivalent. Furthermore, it is also shown that the Euler estimator of a coefficient of the diffusion term has consistency.

Keywords: Stochastic; differential; equation; Euler; discretization; Maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(97)00058-8
Full text for ScienceDirect subscribers only

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:eee:stapro:v:36:y:1997:i:2:p:153-159

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:36:y:1997:i:2:p:153-159