For a one-dimensional diffusion process View the MathML source, we suppose that X(t) is hidden if it is below some fixed and known threshold τ, but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is the estimation of a finite-dimensional parameter in both drift and diffusion coefficients under a partially hidden diffusion process obtained by a discrete sampling scheme. It is assumed that the sampling occurs at regularly spaced time intervals of length hn such that nhn=T. The asymptotic is when hn→0, T→∞ and View the MathML source as n→∞. Consistency and asymptotic normality for estimators of parameters in both drift and diffusion coefficients are proved

Parametric estimation for partially hidden diffusion processes sampled at discrete times / S.M. Iacus, M. Uchida, N. Yoshida. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 119:5(2009), pp. 1580-1600.

Parametric estimation for partially hidden diffusion processes sampled at discrete times

S.M. Iacus
Primo
;
2009

Abstract

For a one-dimensional diffusion process View the MathML source, we suppose that X(t) is hidden if it is below some fixed and known threshold τ, but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is the estimation of a finite-dimensional parameter in both drift and diffusion coefficients under a partially hidden diffusion process obtained by a discrete sampling scheme. It is assumed that the sampling occurs at regularly spaced time intervals of length hn such that nhn=T. The asymptotic is when hn→0, T→∞ and View the MathML source as n→∞. Consistency and asymptotic normality for estimators of parameters in both drift and diffusion coefficients are proved
Diffusion processes; Discrete observations; Partially observed systems
Settore MAT/06 - Probabilita' e Statistica Matematica
Settore SECS-S/01 - Statistica
2009
http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6V1B-4T7XGW8-3-1&_cdi=5670&_user=1080510&_orig=browse&_coverDate=05%2F31%2F2009&_sk=998809994&view=c&wchp=dGLzVtb-zSkzk&md5=77bee2ce016f2624dd9e24d5fbc30be4&ie=/sdarticle.pdf
Article (author)
File in questo prodotto:
File Dimensione Formato  
SPA1797-FINAL.pdf

accesso aperto

Tipologia: Pre-print (manoscritto inviato all'editore)
Dimensione 561.32 kB
Formato Adobe PDF
561.32 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/53254
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? 3
social impact