Bishwal, Jaya (2018) Conditional Least Squares Estimation for Discretely Sampled Nonergodic Diffusions. Asian Research Journal of Mathematics, 7 (4). pp. 1-18. ISSN 2456477X
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Abstract
Strong consistency and conditional asymptotic normality of the conditional least squares estimator of a parameter appearing nonlinearly in the time dependent drift coefficient of the Itô stochastic differential equation are obtained under some regularity conditions when the corresponding diffusion is observed at discretely spaced dense time points satisfying a moderately increasing experimental design condition, the case of high frequency data. Main results are illustrated by the mean reversion process with drift and the nonhomogeneous Ornstein-Uhlenbeck process.
Item Type: | Article |
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Subjects: | Librbary Digital > Mathematical Science |
Depositing User: | Unnamed user with email support@librbarydigit.com |
Date Deposited: | 20 May 2023 06:37 |
Last Modified: | 24 May 2024 06:55 |
URI: | http://info.openarchivelibrary.com/id/eprint/659 |