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...

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書目詳細資料
Main Authors:	BANDI, Federico, PHILLIPS, Peter C. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Diffusion Drift Local time Parametric estimation Stochastic differential equation Econometrics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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