Estimation of ergodic square-root diffusion under high-frequency sampling

2021/03/29 by Yuzhong Cheng, Cheng, Yuzhong, Nicole Hufnagel +3 · 1 citation
Physics and Astronomy · #FOS: Mathematics #NMR spectroscopy and applications #Probability (math.PR) #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2103.15457

openalex publication_date 2021/03/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Gaussian quasi-likelihood estimation of the parameter θ in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbeck and Rydén(1998) under low-frequency sampling, high-frequency of data provides very simple form of the asymptotic covariance matrix. Through easy-to-compute preliminary contrast functions, a practical two-stage manner without numerical optimization is formulated in order to conduct not only an asymptotically efficient estimation of the drift parameters, but also high-precision estimator of the diffusion parameter. Simulation experiments are given to illustrate the results.

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