Nonparametric estimation of the diffusion coefficient from S.D.E. paths
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2023
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866915358951079936 |
|---|---|
| author | Ella-Mintsa, Eddy |
| author_facet | Ella-Mintsa, Eddy |
| contents | Consider a diffusion process X=(X_t), with t in [0,1], observed at discrete times and high frequency, solution of a stochastic differential equation whose drift and diffusion coefficients are assumed to be unknown. In this article, we focus on the nonparametric esstimation of the diffusion coefficient. We propose ridge estimators of the square of the diffusion coefficient from discrete observations of X and that are obtained by minimization of the least squares contrast. We prove that the estimators are consistent and derive rates of convergence as the size of the sample paths tends to infinity, and the discretization step of the time interval [0,1] tend to zero. The theoretical results are completed with a numerical study over synthetic data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_03960 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Nonparametric estimation of the diffusion coefficient from S.D.E. paths Ella-Mintsa, Eddy Statistics Theory Consider a diffusion process X=(X_t), with t in [0,1], observed at discrete times and high frequency, solution of a stochastic differential equation whose drift and diffusion coefficients are assumed to be unknown. In this article, we focus on the nonparametric esstimation of the diffusion coefficient. We propose ridge estimators of the square of the diffusion coefficient from discrete observations of X and that are obtained by minimization of the least squares contrast. We prove that the estimators are consistent and derive rates of convergence as the size of the sample paths tends to infinity, and the discretization step of the time interval [0,1] tend to zero. The theoretical results are completed with a numerical study over synthetic data. |
| title | Nonparametric estimation of the diffusion coefficient from S.D.E. paths |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2307.03960 |