Efficient estimation for diffusions sampled at high frequency over a fixed time interval
نویسندگان
چکیده
منابع مشابه
Efficient estimation for ergodic diffusions sampled at high frequency
A general theory of efficient estimation for ergodic diffusions sampled at high frequency is presented. High frequency sampling is now possible in many applications, in particular in finance. The theory is formulated in term of approximate martingale estimating functions and covers a large class of estimators including most of the previously proposed estimators for diffusion processes, for inst...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2017
ISSN: 1350-7265
DOI: 10.3150/15-bej799