Efficient drift parameter estimation for ergodic solutions of backward SDEs

Autor:	Ogihara, Teppei, Stadje, Mitja
Rok vydání:	2021
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our analysis is that the stochastic integral part is unobserved and non-parametric. Additionally, the drift may depend on the (unknown and unobserved) stochastic integrand. Our results hold for ergodic semi-parametric diffusions and backward SDEs. Simulation studies confirm that the methods proposed yield good convergence results. Comment: 20 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2109.08415 Zobrazit plný text záznamu View this record from Arxiv