Re-weighted functional estimation of second-order diffusion processes

Yunyan Wang (), Lixin Zhang () and Mingtian Tang ()

Metrika: International Journal for Theoretical and Applied Statistics, 2012, vol. 75, issue 8, 1129-1151

Abstract: Second-order diffusion process can not only model integrated and differentiated diffusion processes but also overcome the difficulties associated with the nondifferentiability of the Brownian motion, so these models play an important role in econometric analysis. In this paper, we propose a re-weighted estimator of the diffusion coefficient in the second-order diffusion model. Consistence of the estimator is proved under appropriate conditions and the conditions that ensure the asymptotic normality are also stated. The performance of the proposed estimator is assessed by simulation study. Copyright Springer-Verlag 2012

Keywords: Asymptotic normality; Consistency; Diffusion process; Empirical likelihood; Re-weighted estimator (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00184-011-0372-6 (text/html)
Access to full text is restricted to subscribers.

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:spr:metrik:v:75:y:2012:i:8:p:1129-1151

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/184/PS2

DOI: 10.1007/s00184-011-0372-6

Access Statistics for this article

Metrika: International Journal for Theoretical and Applied Statistics is currently edited by U. Kamps and Norbert Henze

More articles in Metrika: International Journal for Theoretical and Applied Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().