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Estimation of Diffusion Parameters by a Nonparametric Drift Function Model

  • Isao Shoji
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 2690)

Abstract

The paper presents a method to estimate diffusion parameters without specifying drift functions of one dimensional stochastic differential equations. We study finite sample properties of the estimator by numerical experiments at several observation time intervals with total time interval fixed. The results show the estimator is getting efficient as observation time interval becomes smaller. By comparing with the quadratic variation method which is proven to have consistency, the proposed method produces almost the same finite sample properties as that.

Keywords

Observation Time Interval Discretized Process Drift Function Discrete Time Series Total Time Interval 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Isao Shoji
    • 1
  1. 1.Institute of Policy and Planning SciencesUniversity of TsukubaTsukuba IbarakiJapan

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