A pathwise inference method for the parameters of diffusion terms
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analy...
| Main Author: | |
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| Format: | Journal Article |
| Published: |
Taylor & Francis
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/54610 |
| _version_ | 1848759415866392576 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analysis of an auxiliary continuous time complex valued process generated by the underlying real valued process. These estimates do not rely on the distribution of the underlying process and on a particular choice of the drift. Some numerical experiments are used to illustrate the feasibility of the suggested method. |
| first_indexed | 2025-11-14T09:59:32Z |
| format | Journal Article |
| id | curtin-20.500.11937-54610 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:59:32Z |
| publishDate | 2018 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-546102018-03-29T09:09:37Z A pathwise inference method for the parameters of diffusion terms Dokuchaev, Nikolai We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analysis of an auxiliary continuous time complex valued process generated by the underlying real valued process. These estimates do not rely on the distribution of the underlying process and on a particular choice of the drift. Some numerical experiments are used to illustrate the feasibility of the suggested method. 2018 Journal Article http://hdl.handle.net/20.500.11937/54610 10.1080/10485252.2017.1367789 Taylor & Francis restricted |
| spellingShingle | Dokuchaev, Nikolai A pathwise inference method for the parameters of diffusion terms |
| title | A pathwise inference method for the parameters of diffusion terms |
| title_full | A pathwise inference method for the parameters of diffusion terms |
| title_fullStr | A pathwise inference method for the parameters of diffusion terms |
| title_full_unstemmed | A pathwise inference method for the parameters of diffusion terms |
| title_short | A pathwise inference method for the parameters of diffusion terms |
| title_sort | pathwise inference method for the parameters of diffusion terms |
| url | http://hdl.handle.net/20.500.11937/54610 |