Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme
The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1620 https://ink.library.smu.edu.sg/context/soe_research/article/2619/viewcontent/Yu_EL_2015_a.pdf |
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| Institution: | Singapore Management University |
| Language: | English |