Adaptive estimation for degenerate diffusion processes

DOI10.1214/20-EJS1777MaRDI QIDQ2044342zbMATH OpenFDO

Authors Arnaud Gloter, Nakahiro Yoshida

Publication date 9 August 2021

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

Full work available at URL https://arxiv.org/abs/2002.10164

zbMATH Keywords

quasi-maximum likelihood estimatordegenerate diffusionone-step estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

Abstract: We discuss parametric estimation of a degenerate diffusion system from time-discrete observations. The first component of the degenerate diffusion system has a parameter $het{a}_1$ in a non-degenerate diffusion coefficient and a parameter $het{a}_2$ in the drift term. The second component has a drift term parameterized by $het{a}_3$ and no diffusion term. Asymptotic normality is proved in three different situations for an adaptive estimator for $het{a}_3$ with some initial estimators for ($het{a}_1$ , $het{a}_2$), an adaptive one-step estimator for ($het{a}_1$ , $het{a}_2$ , $het{a}_3$) with some initial estimators for them, and a joint quasi-maximum likelihood estimator for ($het{a}_1$ , $het{a}_2$ , $het{a}_3$) without any initial estimator. Our estimators incorporate information of the increments of both components. Thanks to this construction, the asymptotic variance of the estimators for $het{a}_1$ is smaller than the standard one based only on the first component. The convergence of the estimators for $het{a}_3$ is much faster than the other parameters. The resulting asymptotic variance is smaller than that of an estimator only using the increments of the second component.

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Cited in

(16)

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• Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
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