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Spectral estimation for diffusions with random sampling times

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  • Chorowski, Jakub
  • Trabs, Mathias

Abstract

The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estimator generalizes the spectral method by Gobet et al. (2006). The estimation procedure is optimal in the minimax sense and adaptive with respect to the sampling time distribution and the regularity of the coefficients. The proofs are based on the eigenvalue problem for the generalized transition operator. The finite sample performance is illustrated in a numerical example.

Suggested Citation

  • Chorowski, Jakub & Trabs, Mathias, 2016. "Spectral estimation for diffusions with random sampling times," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 2976-3008.
    • Handle: RePEc:eee:spapps:v:126:y:2016:i:10:p:2976-3008
    DOI: 10.1016/j.spa.2016.03.009
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    References listed on IDEAS

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