A pathwise inference method for the parameters of diffusion terms

DOI10.1080/10485252.2017.1367789MaRDI QIDQ4600191zbMATH OpenOpenAlexFDO

Authors Nikolai Dokuchaev

Publication date 5 January 2018

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.05627

zbMATH Keywords

CKLS modelCox-Ingersoll-Ross processdiffusions processespathwise estimationpower indexvolatility

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analysis of an auxiliary continuous time complex valued process generated by the underlying real valued process. These estimates do not rely on the distribution of the underlying process and on a particular choice of the drift. Some numerical experiments are used to illustrate the feasibility of the suggested method.

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Cited in

(5)

• Extension of the parametric delta method with an application to an inference method for a degradation model
• Parameter estimation in CKLS model by continuous observations
• Fast maximum likelihood estimation of parameters for square root and Bessel processes
• Goal-Oriented Inference: Approach, Linear Theory, and Application to Advection Diffusion
• Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model

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