Estimation of ergodic square-root diffusion under high-frequency sampling

Yuzhong Cheng, Nicole Hufnagel, Hiroki Masuda

Research output: Contribution to journalArticlepeer-review

Abstract

Gaussian quasi-likelihood estimation of the parameter in the square-root diffusion process is studied under high-frequency sampling. Different from previous studies under low-frequency sampling, high-frequency of data leads to a very simple form of the asymptotic covariance matrix. Through easy-to-compute preliminary contrast functions, a practical two-stage manner without numerical optimization is formulated to conduct not only an asymptotically efficient estimation of the drift parameters but also a high-precision estimator of the diffusion parameter. Simulation experiments are given to illustrate the results.

Original languageEnglish
JournalEconometrics and Statistics
DOIs
Publication statusAccepted/In press - 2022

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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