IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Parametric estimation for partially hidden diffusion processes sampled at discrete times

Listed author(s):
  • Stefano Iacus

    (Department of Economics, Business and Statistics, University of Milan, IT)

  • Masayuki Uchida

    (Departement of Mathematical Sciences, Faculty of Mathematics, Kyushu University, Ropponmatsu, Fukuoka 810-8560, Japan)

  • Nakahiro Yoshida

    (Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914 Japan)

A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$ is observed only when its path lies over some threshold $\tau$. On the basis of the observable part of the trajectory, the problem is to estimate finite dimensional parameter in both drift and diffusion coefficient under a discrete sampling scheme. It is assumed that the sampling occurs at regularly spaced times intervals of length $h_n$ such that $h_n\cdot n =T$. The asymptotic is considered as $T\to\infty$, $n\to\infty$, $n h_n^2\to 0$. Consistency and asymptotic normality for estimators of parameters in both drift and diffusion coefficient is proved.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://services.bepress.com/unimi/statistics/art18
Download Restriction: no

Paper provided by Universit√° degli Studi di Milano in its series UNIMI - Research Papers in Economics, Business, and Statistics with number unimi-1042.

as
in new window

Length:
Date of creation: 12 Nov 2006
Handle: RePEc:bep:unimip:unimi-1042
Note: oai:cdlib1:unimi-1042
Contact details of provider: Postal:
Via Conservatorio 7 - 20122 Milano

Phone: +39 02 503 16486
Fax: +39 02 503 16475
Web page: http://services.bepress.com/unimi

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
  2. Paul Fearnhead & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Particle filters for partially observed diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 755-777.
  3. Nakahiro Yoshida, 1990. "Asymptotic behavior of M-estimator and related random field for diffusion process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 221-251, June.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bep:unimip:unimi-1042. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.