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Register a new userUpdate estimation of diffusion parameter observed at high frequency
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Added by
Yusuke Shimizu
Publication date
2015
fields
Mathematical Statistics
and research's language is
English
Authors
Yusuke Shimizu
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We propose an update estimation method for a diffusion parameter from high-frequency dependent data under a nuisance drift element. We ensure the asymptotic equivalence of the estimator to the corresponding quasi-MLE, which has the asymptotic normality and the asymptotic efficiency. We give a simulation example to illustrate the theory.
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