Estimators of diffusions with randomly spaced discrete observations: A general theory
| dc.creator | Ait-Sahalia, Yacine | |
| dc.creator | Mykland, Per A. | |
| dc.date | 2005-03-29 | |
| dc.date.accessioned | 2026-07-07T08:06:47Z | |
| dc.date.available | 2026-07-07T08:06:47Z | |
| dc.description | We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time separating successive observations may possibly be random. We introduce a new operator, the generalized infinitesimal generator, to obtain Taylor expansions of the asymptotic moments of the estimators. As a special case, our results apply to the situation where the data are discretely sampled at a fixed nonrandom time interval. We include as specific examples estimators based on maximum-likelihood and discrete approximations such as the Euler scheme. | |
| dc.description | Published at http://dx.doi.org/10.1214/009053604000000427 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0503679 | |
| dc.identifier | http://arxiv.org/abs/math/0503679 | |
| dc.identifier | Annals of Statistics 2004, Vol. 32, No. 5, 2186-2222 | |
| dc.identifier | doi:10.1214/009053604000000427 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/130727 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62F12, 62M05 (Primary) 60H10, 60J60. (Secondary) | |
| dc.title | Estimators of diffusions with randomly spaced discrete observations: A general theory | |
| dc.type | text |