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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |