A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

• 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

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...