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Efficient estimation for diffusions sampled at high frequency over a fixed time interval

arXiv 1507.06792 ↗First posted 24 Jul 2015stat.ME math.ST stat.THcited by 1

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Abstract (arXiv)

Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find easily verified conditions on approximate martingale estimating functions under which estimators are consistent, rate optimal, and efficient under high frequency (in-fill) asymptotics. The asymptotic distributions of the estimators are shown to be normal variance-mixtures, where the mixing distribution generally depends on the full sample path of the diffusion process over the observation time interval. Utilising the concept of stable convergence, we also obtain the more easily applicable result that for a suitable data dependent normalisation, the estimators converge in distribution to a standard normal distribution. The theory is illustrated by a simulation study comparing an efficient and a non-efficient estimating function for an ergodic and a non-ergodic model.

Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). First posted on arXiv 24 Jul 2015.

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