Asymptotically efficient estimation for diffusion processes with nonsynchronous observations

DOI10.1007/S42081-023-00196-0arXiv2207.00180OpenAlexW4323833060MaRDI QIDQ6176239FDOQ6176239

Authors: Teppei Ogihara 

Publication date: 25 July 2023

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

Abstract: We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis of high-frequency data in a financial market. Constructing a quasi-likelihood function to define the estimator, we adaptively estimate the parameter for the diffusion part and the drift part. We consider the asymptotic theory when the terminal time point $T_n$ and the observation frequency goes to infinity, and show the consistency and the asymptotic normality of the estimator. Moreover, we show local asymptotic normality for the statistical model, and asymptotic efficiency of the estimator as a consequence. To show the asymptotic properties of the maximum-likelihood-type estimator, we need to control the asymptotic behaviors of some functionals of the sampling scheme. Though it is difficult to directly control those in general, we study tractable sufficient conditions when the sampling scheme is generated by mixing processes.

Full work available at URL: https://arxiv.org/abs/2207.00180

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zbMATH Keywords

asymptotic efficiencydiffusion processeslocal asymptotic normalitynonsynchronous observationsmaximum-likelihood-type estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (3)

• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• A note on the effect of asynchronous sampling on estimation accuracy
• Efficient estimation for diffusions sampled at high frequency over a fixed time interval

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