Data driven time scale in Gaussian quasi-likelihood inference

Shoichi Eguchi, Hiroki Masuda

Research output: Contribution to journalArticlepeer-review

Abstract

We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making the conventional Gaussian quasi-likelihood not directly applicable. In this situation, we construct estimators of both model parameters and sampling stepsize in a fully explicit way, and prove that they are jointly asymptotically normally distributed. High order uniform integrability of the obtained estimator is also derived. Further, we propose the Schwarz (BIC) type statistics for model selection and show its model-selection consistency. We conducted some numerical experiments and found that the observed finite-sample performance well supports our theoretical findings. Also provided is a real data example.

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Jan 31 2018

All Science Journal Classification (ASJC) codes

  • General

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