Asymptotic analysis of estimators of ergodic stochastic differential equations
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866910686598135808 |
|---|---|
| author | Ganguly, Arnab |
| author_facet | Ganguly, Arnab |
| contents | The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of the diffusion parameter and an approximate maximum likelihood estimator of the drift parameter based on a discretized likelihood function have been established in a suitable scaling regime involving the time-gap between the observations and the overall time span. Our framework is more general than that typically considered in the literature and, thus, has the potential to be applicable to a wider range of stochastic models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_03623 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Asymptotic analysis of estimators of ergodic stochastic differential equations Ganguly, Arnab Statistics Theory Dynamical Systems Probability Methodology 60F05, 62M05, 60H10, 62F10, 60H35 The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of the diffusion parameter and an approximate maximum likelihood estimator of the drift parameter based on a discretized likelihood function have been established in a suitable scaling regime involving the time-gap between the observations and the overall time span. Our framework is more general than that typically considered in the literature and, thus, has the potential to be applicable to a wider range of stochastic models. |
| title | Asymptotic analysis of estimators of ergodic stochastic differential equations |
| topic | Statistics Theory Dynamical Systems Probability Methodology 60F05, 62M05, 60H10, 62F10, 60H35 |
| url | https://arxiv.org/abs/2411.03623 |