Pathwise stability of likelihood estimators for diffusions via rough paths

DOI10.1214/15-AAP1143MaRDI QIDQ341608zbMATH OpenOpenAlexFDO

Authors Joscha Diehl, Hilmar Mai, Peter Friz

Publication date 16 November 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.1061, https://projecteuclid.org/euclid.aoap/1472745455

zbMATH Keywords

maximum likelihood estimationrobust estimationrough paths analysis

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons), we analyze the Maximum Likelihood Estimator (MLE) with regard to its pathwise stability properties as well as robustness toward misspecification in volatility and even the very nature of the noise. Two numerical examples demonstrate the practical relevance of our results.

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