Update estimation of diffusion parameter observed at high frequency

Yusuke Shimizu

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arXiv · 1506.08521

Update estimation of diffusion parameter observed at high frequency

Yusuke Shimizu

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Abstract

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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Yusuke Shimizu. 2015-06-29. Update estimation of diffusion parameter observed at high frequency. https://arxiv.org/abs/1506.08521

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