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Non-parametric estimation for partially observed transient diffusion processes

 

作者: V. Genon-Catalot,   C. Laredo,  

 

期刊: Stochastics  （Taylor Available online 1986）
卷期: Volume 18, issue 2  

页码: 169-196

 

ISSN:0090-9491

 

年代: 1986

 

DOI:10.1080/17442508608833407

 

出版商: Gordon and Breach, Science Publishers, Inc

 

关键词: Diffusion processes;hitting times;processes with independent increments;Girsanov formula;non-parametric estimation;point processes

 

数据来源: Taylor

 

摘要:

Consider Xta transient diffusion on R with small known variance σ and unknown drift function µ(.). The record processis partially observed up to the hitting time T$sub:ⱥ$esub: of a given level ⱥ>x = X$sub:0$esub: Under suitable assumptions on µ, we study the statistical model corresponding to this observation. The likelihood function being in most cases unknown, we construct a non-parametric estimator of the drift coefficient pi µ(.) and study its asymptotic properties as σgoes to 0.

 

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