Variable bandwidth local maximum likelihood type estimation for diffusion processes
Abstract The method of robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time observations. The proposed method combines the ideas of local linear regression technique and maximum likelihood type estimation technique, so the advantages...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2018-02-01
|
| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-018-1506-1 |
| _version_ | 1818670535584776192 |
|---|---|
| author | Ming T. Tang Yun Y. Wang |
| author_facet | Ming T. Tang Yun Y. Wang |
| author_sort | Ming T. Tang |
| collection | DOAJ |
| description | Abstract The method of robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time observations. The proposed method combines the ideas of local linear regression technique and maximum likelihood type estimation technique, so the advantages of local linear estimators persist and overcome the disadvantages of least-squares estimator. Moreover, a variable bandwidth instead of a constant bandwidth is considered in the local maximum likelihood type estimators. The consistency and asymptotic normality of the local maximum likelihood type estimators for drift and diffusion functions are developed under some given conditions. We perform a simulation study to evaluate the robust performances of the proposed estimators. |
| first_indexed | 2024-12-17T07:09:39Z |
| format | Article |
| id | doaj.art-f6b3f0438889404f963e86d989118667 |
| institution | Directory Open Access Journal |
| issn | 1687-1847 |
| language | English |
| last_indexed | 2024-12-17T07:09:39Z |
| publishDate | 2018-02-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Advances in Difference Equations |
| spelling | doaj.art-f6b3f0438889404f963e86d9891186672022-12-21T21:59:04ZengSpringerOpenAdvances in Difference Equations1687-18472018-02-012018112110.1186/s13662-018-1506-1Variable bandwidth local maximum likelihood type estimation for diffusion processesMing T. Tang0Yun Y. Wang1School of Science, Jiangxi University of Science and TechnologySchool of Science, Jiangxi University of Science and TechnologyAbstract The method of robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time observations. The proposed method combines the ideas of local linear regression technique and maximum likelihood type estimation technique, so the advantages of local linear estimators persist and overcome the disadvantages of least-squares estimator. Moreover, a variable bandwidth instead of a constant bandwidth is considered in the local maximum likelihood type estimators. The consistency and asymptotic normality of the local maximum likelihood type estimators for drift and diffusion functions are developed under some given conditions. We perform a simulation study to evaluate the robust performances of the proposed estimators.http://link.springer.com/article/10.1186/s13662-018-1506-1Asymptotic normalityConsistencyRobust estimationStochastic differential equationVariable bandwidth |
| spellingShingle | Ming T. Tang Yun Y. Wang Variable bandwidth local maximum likelihood type estimation for diffusion processes Advances in Difference Equations Asymptotic normality Consistency Robust estimation Stochastic differential equation Variable bandwidth |
| title | Variable bandwidth local maximum likelihood type estimation for diffusion processes |
| title_full | Variable bandwidth local maximum likelihood type estimation for diffusion processes |
| title_fullStr | Variable bandwidth local maximum likelihood type estimation for diffusion processes |
| title_full_unstemmed | Variable bandwidth local maximum likelihood type estimation for diffusion processes |
| title_short | Variable bandwidth local maximum likelihood type estimation for diffusion processes |
| title_sort | variable bandwidth local maximum likelihood type estimation for diffusion processes |
| topic | Asymptotic normality Consistency Robust estimation Stochastic differential equation Variable bandwidth |
| url | http://link.springer.com/article/10.1186/s13662-018-1506-1 |
| work_keys_str_mv | AT mingttang variablebandwidthlocalmaximumlikelihoodtypeestimationfordiffusionprocesses AT yunywang variablebandwidthlocalmaximumlikelihoodtypeestimationfordiffusionprocesses |