Parametric estimation for partially hidden diffusion processes sampled at discrete times

DOI10.1016/J.SPA.2008.08.004MaRDI QIDQ1016630zbMATH OpenOpenAlexFDO

Authors Masayuki Uchida, Nakahiro Yoshida, Stefano M. Iacus

Publication date 6 May 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611781, http://hdl.handle.net/2434/53254

zbMATH Keywords

diffusion processesdiscrete observationspartially observed systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Abstract: For a one dimensional diffusion process $X=X(t);0leqtleqT$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $au$, but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is to estimate finite dimensional parameter in both drift and diffusion coefficients under a partially hidden diffusion process obtained by a discrete sampling scheme. It is assumed that the sampling occurs at regularly spaced time intervals of length $h_n$ such that $n{h}_n=T$. The asymptotic is when $h_{n}o0$, $Toinfty$ and $n{h}_n^{2}o0$ as $noinfty$. Consistency and asymptotic normality for estimators of parameters in both drift and diffusion coefficients are proved.

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Cited in

(6)

• Empirical \(L^2\)-distance test statistics for ergodic diffusions
• Parametric Inference for Discretely Sampled Stochastic Differential Equations
• Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
• Interpolation for partly hidden diffusion processes
• Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
• Optimal estimation of diffusion processes hidden by general obstacles

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