Estimation in Two Classes of Semiparametric Diffusion Models
نویسندگان
چکیده
منابع مشابه
Estimation in Two Classes of Semiparametric Diffusion Models∗
In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first class, only the diffusion term is parameterised while the drift is unspecified; in the second, the drift term is specified while the diffusion is of unknown form. The estimation method is based on the assumption of stationarity of the observed process...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.556446