Update estimation of diffusion parameter observed at high frequency
Statistics Theory
2015-06-30 v1 Statistics Theory
Abstract
We propose an update estimation method for a diffusion parameter from high-frequency dependent data under a nuisance drift element. We ensure the asymptotic equivalence of the estimator to the corresponding quasi-MLE, which has the asymptotic normality and the asymptotic efficiency. We give a simulation example to illustrate the theory.
Cite
@article{arxiv.1506.08521,
title = {Update estimation of diffusion parameter observed at high frequency},
author = {Yusuke Shimizu},
journal= {arXiv preprint arXiv:1506.08521},
year = {2015}
}