MINIMUM CONTRAST ESTIMATION FOR DISCRETELY OBSERVED DIFFUSION PROCESSES WITH SMALL DISPERSION PARAMETER

• 内田 雅之

  九州大学大学院数理学研究院

抄録

The parametric estimation of both drift and diffusion coefficient parameters for $ d $-dimensional diffusion processes with small dispersion parameter $ \varepsilon $ is stated when the data are discretely observed at equidistant time points $ k/n $, $ k = 0,1, cdots, n $. Using the contrast function based on a Gaussian approximation to the transition density, we present asymptotic properties for the minimum contrast estimator as $ \varepsilon $ tends to $ 0 $ and $ n $ tends to $ infty $ simultaneously.

収録刊行物

• Bulletin of informatics and cybernetics

  Bulletin of informatics and cybernetics 36 35-49, 2004-12

  統計科学研究会

キーワード

• Discrete time sampling
• parametric inference
• stochastic differential equation

詳細情報

• CRID: 1390009224848917120
• NII論文ID: 120001014473
• NII書誌ID: AA10634475
• DOI: 10.5109/12577
• ISSN: 2435743X
• ISSN: 0286522X
• HANDLE: 2324/12577
• 本文言語コード: en
• データソース種別:
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• 抄録ライセンスフラグ: 使用可