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Sample partitioning estimation for ergodic diffusions

TítuloSample partitioning estimation for ergodic diffusions
Publication TypeUnpublished
Year of Publication2012
AuthorsRamos L, Mota P, Mexia J
Series TitlePreprint
Palavras-chaveConsistency, Ergodic Diffusions, Independency, Least Squares, Martingale Estimating Functions, Maximum Likelihood Estimators, Method of Moments, Transition and Invariant Densities.
AbstractIn this paper we present a new technique to obtain estimators for parameters of ergodic processes. When a diffusion is ergodic its transition density converges to the invariant density (see Durett). This convergence enabled us to introduce a sample partitioning technique that gives, in each sub-sample, observations that can be treated as independent and identically distributed. Within this framework, is possible the construction of estimators like maximum likelihood estimators or others.
URLhttp://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2012/12_12.pdf