Adaptive inference for small diffusion processes based on sampled data

DOI10.1007/S00184-022-00889-8MaRDI QIDQ6169614zbMATH OpenFDO

Authors Tetsuya Kawai, Masayuki Uchida

Publication date 12 July 2023

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.01397

zbMATH Keywords

adaptive testasymptotic theorydiscrete time observationminimum contrast estimationSIR modelstochastic differential equation

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We consider parametric estimation and tests for multi-dimensional diffusion processes with a small dispersion parameter $varepsilon$ from discrete observations. For parametric estimation of diffusion processes, the main target is to estimate the drift parameter and the diffusion parameter. In this paper, we propose two types of adaptive estimators for both parameters and show their asymptotic properties under $varepsilono0$, $noinfty$ and the balance condition that $(varepsilon{n}^{h}o{)}^{-1}=O(1)$ for some $ho>0$. Using these adaptive estimators, we also introduce consistent adaptive testing methods and prove that test statistics for adaptive tests have asymptotic distributions under null hypothesis. In simulation studies, we examine and compare asymptotic behaviors of the two kinds of adaptive estimators and test statistics. Moreover, we treat the SIR model which describes a simple epidemic spread for a biological application.

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Cited in

(2)

• Adaptive estimation of an ergodic diffusion process based on sampled data
• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise

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