A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

• المؤلفون الرئيسيون: BANDI, Federico, PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Diffusion; Drift; Local time; Parametric estimation; Stochastic differential equation; Econometrics
• الوصول للمادة أونلاين: 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...