Discretely observed diffusions: Classes of estimating functions and small -optimality

DOI10.1111/1467-9469.00228MaRDI QIDQ2722307zbMATH OpenOpenAlexFDO

Authors Martin Jacobsen

Publication date 11 July 2001

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

Full work available at URL https://doi.org/10.1111/1467-9469.00228

zbMATH Keywords

asymptotic normality of estimatorsmartingale estimating functionsminimizing asymptotic covariancesreversible estimating functionssimple estimating functionstransition dependent estimating functions

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Analysis of variance and covariance (ANOVA) (62J10)

Review text

The main purpose of this paper is to discuss criteria for choosing good estimating functions when estimating the parameters of an ergodic diffusion that is observed only at discrete points in time. Ergodic diffusions in several dimensions depending on an unknown multivariate parameter are considered. For estimation, when the diffusion is observed only at finitely many equidistant time points, unbiased estimating functions leading to consistent and asymptotically Gaussian estimators are used. Different types of estimating functions are discussed and the concept of small \(\Delta\)-optimality is introduced to help select good estimating functions. Explicit criteria for small \(\Delta\)-optimality are given. Some exact optimality conditions are presented as well as, for one-dimensional diffusions, methods for improving estimators using time reversibility. The conditions are presented in generality for multidimensional diffusions depending on multidimensional parameters, allowing for any combination of parameter dependence in the drift and diffusion coefficients, and apply to any flow that is known to yield consistent and asymptotically Gaussian estimators for arbitrary \(\Delta\).

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• ANOVA for diffusions and Itō processes
• On the approximate maximum likelihood estimation for diffusion processes
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Parametric inference for diffusion processes observed at discrete points in time: a survey
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

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