- Tytuł:
- Sample partitioning estimation for ergodic diffusions: application to Ornstein-Uhlenbeck diffusion
- Autorzy:
- Ramos, Luís
- Powiązania:
- https://bibliotekanauki.pl/articles/729918.pdf
- Data publikacji:
- 2010
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
ergodic diffusions
martingale estimating functions
transition and invariant densities
maximum likelihood estimators - Opis:
- When a diffusion is ergodic its transition density converges to its invariant density, see Durrett (1998). This convergence enabled us to introduce a sample partitioning technique that gives in each sub-sample, maximum likelihood estimators. The averages of these being a natural choice as estimators. To compare our estimators with the optimal we obtained from martingale estimating functions, see Sørensen (1998), we used the Ornstein-Uhlenbeck process for which exact simulations can be carried out.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 117-122
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł