Parametric estimation of hidden stochastic model by contrast minimization and deconvolution

DOI10.1007/S00184-013-0430-3zbMATH Open1365.62077arXiv1202.2559OpenAlexW3123836281MaRDI QIDQ378917FDOQ378917

Salima El Kolei

Publication date: 12 November 2013

Published in: Metrika (Search for Journal in Brave)

Abstract: We study a new parametric approach for particular hidden stochastic models such as the Stochastic Volatility model. This method is based on contrast minimization and deconvolution. After proving consistency and asymptotic normality of the estimation leading to asymptotic confidence intervals, we provide a thorough numerical study, which compares most of the classical methods that are used in practice (Quasi Maximum Likelihood estimator, Simulated Expectation Maximization Likelihood estimator and Bayesian estimators). We prove that our estimator clearly outperforms the Maximum Likelihood Estimator in term of computing time, but also most of the other methods. We also show that this contrast method is the most robust with respect to non Gaussianity of the error and also does not need any tuning parameter.

Full work available at URL: https://arxiv.org/abs/1202.2559

zbMATH Keywords

deconvolutionstochastic volatilitycontrast functionparametric inference

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

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Cited In (2)

• Parametric inference of autoregressive heteroscedastic models with errors in variables
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

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