Estimation for discretely observed diffusions using transform functions
Leah Kelly, Eckhard Platen, and Michael Sørensen
Source: J. Appl. Probab. Volume 41A, Issue (2004), 99-118.
Abstract
This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.
Primary Subjects: 62M05, 62F12
Secondary Subjects: 60G35, 60G10
Keywords: Discretely observed diffusion; transformation function; affine diffusion process; estimation
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1082552193
Digital Object Identifier: doi:10.1239/jap/1082552193
Mathematical Reviews number (MathSciNet):
MR2057568
Zentralblatt MATH identifier:
1049.62092
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