Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
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Publication:2434472
DOI10.1016/J.SPA.2013.07.009zbMATH Open1279.62170arXiv1206.0916OpenAlexW2037731378MaRDI QIDQ2434472FDOQ2434472
Authors: Romain Guy, Elisabeta Vergu, Catherine Larédo 
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We consider a multidimensional diffusion X with drift coefficient b({alpha},X(t)) and diffusion coefficient {epsilon}{sigma}({�eta},X(t)). The diffusion is discretely observed at times t_k=k{Delta} for k=1..n on a fixed interval [0,T]. We study minimum contrast estimators derived from the Gaussian process approximating X for small {epsilon}. We obtain consistent and asymptotically normal estimators of {alpha} for fixed {Delta} and {epsilon}
ightarrow0 and of ({alpha},{�eta}) for {Delta}
ightarrow0 and {epsilon}
ightarrow0. We compare the estimators obtained with various methods and for various magnitudes of {Delta} and {epsilon} based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.
Full work available at URL: https://arxiv.org/abs/1206.0916
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Cited In (17)
- Adaptive estimator for a parabolic linear SPDE with a small noise
- Hybrid estimators for small diffusion processes based on reduced data
- Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
- Parametric inference for discretely observed non-ergodic diffusions
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- Inference for partially observed epidemic dynamics guided by Kalman filtering techniques
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