Hybrid multi-step estimators for stochastic differential equations based on sampled data

Kengo Kamatani () and Masayuki Uchida

Statistical Inference for Stochastic Processes, 2015, vol. 18, issue 2, 177-204

Abstract: We consider an estimation problem of both drift and diffusion coefficient parameters for an ergodic diffusion process based on discrete observations. Hybrid multi-step estimators are proposed and their asymptotic properties, including convergence of moments, are obtained. Copyright Springer Science+Business Media Dordrecht 2015

Keywords: Adaptive estimation; Bayes type estimator; Convergence of moments; Diffusion process; Discrete time observations; Maximum likelihood type estimator; Primary 62F12; 62M05; Secondary 60J60 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s11203-014-9107-4

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