A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

A simple and robust approach is proposed for the parametric estimation of scalar homogeneous stochastic differential equations. We specify a parametric class of diffusions and estimate the parameters of interest by minimizing criteria based on the integrated squared difference between kernel estimat...

Full description

Saved in:
Bibliographic Details
Main Authors: BANDI, Federico, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Diffusion
Drift
Local time
Parametric estimation
Stochastic differential equation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/281
https://ink.library.smu.edu.sg/context/soe_research/article/1280/viewcontent/SimpleApproach_ParametricEstimation_2007.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/281
https://ink.library.smu.edu.sg/context/soe_research/article/1280/viewcontent/SimpleApproach_ParametricEstimation_2007.pdf

Similar Items