Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

DOI10.1007/S42081-023-00192-4zbMATH Open1516.60036arXiv2207.00357MaRDI QIDQ6134375FDOQ6134375

Markus Bibinger, Patrick Bossert

Publication date: 25 July 2023

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Abstract: We construct estimators for the parameters of a parabolic SPDE with one spatial dimension based on discrete observations of a solution in time and space on a bounded domain. We establish central limit theorems for a high-frequency asymptotic regime. The asymptotic variances are shown to be substantially smaller compared to existing estimation methods. Moreover, asymptotic confidence intervals are directly feasible. Our approach builds upon realized volatilities and their asymptotic illustration as response of a log-linear model with spatial explanatory variable. This yields efficient estimators based on realized volatilities with optimal rates of convergence and minimal variances. We demonstrate efficiency gains compared to previous estimation methods numerically and in Monte Carlo simulations.

Full work available at URL: https://arxiv.org/abs/2207.00357

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zbMATH Keywords

least squares estimationSPDEhigh-frequency datacentral limit theorem under dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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