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A new instrumental variable estimation for diffusion processes

  • Beong Soo So
Stochastic Process

Abstract

We consider the problem of parametric inference from continuous sample paths of the diffusion processes {x(t)} generated by the system of possibly nonstationary and/or nonlinear Ito stochastic differential equations. We propose a new instrumental variable estimator of the parameter whose pivotal statistic has a Gaussian distribution for all possible values of parameter. The new estimator enables us to construct exact level-α confidence intervals and tests for the parameter in the possibly non-stationary and/or nonlinear diffusion processes. Applications to several non-stationary and/or nonlinear diffusion processes are considered as examples.

Key words and phrases

Non-stationary nonlinear diffusion instrumental variable estimator 

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Copyright information

© The Institute of Statistical Mathematics 2005

Authors and Affiliations

  • Beong Soo So
    • 1
  1. 1.Department of StatisticsEwha Womans UniversitySeoulKorea

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