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Fully nonparametric estimation of scalar diffusion models

Bandi, F.M. and Phillips, P.C.B. (2003) Fully nonparametric estimation of scalar diffusion models. Econometrica, 71 (1). pp. 241-283. ISSN 0012-9682

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We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete sample of observations and with minimal requirements on the data generating process. We show how to identify the drift and diffusion function in situations where one or the other function is considered a nuisance parameter. The asymptotic behavior of the estimators is examined as the observation frequency increases and as the time span lengthens. We prove almost sure consistency and weak convergence to mixtures of normal laws, where the mixing variates depend on the chronological local time of the underlying diffusion process, that is the random time spent by the process in the vicinity of a generic spatial point. The estimation method and asymptotic results apply to both stationary and nonstationary recurrent processes.

Item Type: Article
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 05 Jun 2009 10:37
Last Modified: 05 Jun 2009 10:37
Published Version: http://dx.doi.org/10.1111/1468-0262.00395
Status: Published
Publisher: Econometric Society
Identification Number: 10.1111/1468-0262.00395
URI: http://eprints.whiterose.ac.uk/id/eprint/6006

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