Martingale estimation functions for Bessel processes

DOI10.1007/S11203-021-09250-8MaRDI QIDQ2144197zbMATH OpenOpenAlexFDO

Authors Nicole Hufnagel, Jeannette Woerner

Publication date 1 June 2022

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2007.12521

zbMATH Keywords

Bessel processeigenfunctionsmartingale estimating functionnon-ergodic diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel process is non-ergodic and the theory of martingale estimating functions is developed for ergodic diffusions, we use the space-time transformation of the Bessel process and formulate our results for a modified Bessel process. We deduce consistency, asymptotic normality and discuss optimality. It turns out that the martingale estimating function based of the first eigenfunction of the modified Bessel process coincides with the linear martingale estimating function for the Cox Ingersoll Ross process. Furthermore, our results may also be applied to estimating the multiplicity parameter of a one-dimensional Dunkl process.

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Cites work

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• Estimating functions for diffusion-type processes
• scientific article; zbMATH DE number 195091 (Why is no real title available?)
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• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• Martingale estimation functions for discretely observed diffusion processes
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