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Sample partitioning estimation for ergodic diffusions: application to Ornstein-Uhlenbeck diffusion

100%

Ramos L.

Discussiones Mathematicae Probability and Statistics

2010

tom 30

nr 1

117-122

When a diffusion is ergodic its transition density converges to its invariant density, see Durrett (1998). This convergence enabled us to introduce a sample partitioning technique that gives in each sub-sample, maximum likelihood estimators. The averages of these being a natural choice as estimators. To compare our estimators with the optimal we obtained from martingale estimating functions, see Sørensen (1998), we used the Ornstein-Uhlenbeck process for which exact simulations can be carried out.

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1 Discussiones Mathematicae Probability and Statistics

1 Ramos L.

1 2010

Wyniki wyszukiwania

Sample partitioning estimation for ergodic diffusions: application to Ornstein-Uhlenbeck diffusion