Adaptive estimation of an ergodic diffusion process based on sampled data |
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| Authors: | Masayuki Uchida Nakahiro Yoshida |
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| Affiliation: | 1. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka 560-8531, Japan;2. Japan Science and Technology Agency, CREST, Japan;3. Graduate School of Mathematical Sciences, University of Tokyo 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan |
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| Abstract: | We consider adaptive maximum likelihood type estimation of both drift and diffusion coefficient parameters for an ergodic diffusion process based on discrete observations. Two kinds of adaptive maximum likelihood type estimators are proposed and asymptotic properties of the adaptive estimators, including convergence of moments, are obtained. |
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| Keywords: | primary, 62F12, 62M05 secondary, 60J60 |
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