Maximum penalized quasi-likelihood estimation of the diffusion function

DOI10.1080/14697688.2011.615212MaRDI QIDQ2866380zbMATH OpenOpenAlexFDO

Authors Jeff Hamrick, Constantinos Kardaras, Murad S. Taqqu, Yifei Huang

Publication date 13 December 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.2421, https://hdl.handle.net/2144/37419

zbMATH Keywords

diffusionsnonparametric estimationpenalized quasi-likelihood

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Abstract: We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function, we study the asymptotic properties of our estimator by way of simulation. Under the assumption that overnight London Interbank Offered Rates (LIBOR); the USD/EUR, USD/GBP, JPY/USD, and EUR/USD nominal exchange rates; and 1-month, 3-month, and 30-year Treasury bond yields are generated by diffusion processes, we use our numerical scheme to estimate the diffusion function.

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Cites work

• \(L_p\) estimation of the diffusion coefficient
• Adaptive estimation in diffusion processes.
• Asymptotic analysis of penalized likelihood and related estimators
• Asymptotics for M-type smoothing splines
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Nonparametric estimation of scalar diffusions based on low frequency data
• Nonparametric Identification for Diffusion Processes
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• On Computing Robust Splines and Applications
• On estimating the diffusion coefficient from discrete observations
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Testing diffusion processes for non-stationarity

Cited in

(4)

• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Estimating the diffusion coefficient function for a diversified world stock index
• A two-step estimation of diffusion processes using noisy observations
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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