Maximnm contrast estimation for diffusion processes from discrete observations
- 1 January 1990
- journal article
- other
- Published by Taylor & Francis in Statistics
- Vol. 21 (1) , 99-116
- https://doi.org/10.1080/02331889008802231
Abstract
We consider a one-dimensional diffusion process (Xt) with drift b{θ&, u) depending on an unknown parameter # and small known diffusion coefficient , s. The sample path is observed at times k△A, =0, 1,…,.N up to T=NA, for fixed T. We study maximum contrast estimators (m.c.e.) of θ based on this observation with asymptotic results as e and ^ go to 0 simultaneously. We specify conditions on △A under which the ni.e.e. are asymptotically normal and asymptotically equivalent to the maximum Hkelihood estimator of $Keywords
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