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Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Nina Munkholt Jakobsen,
Michael Sørensen
Department of Mathematical Sciences
4
Citations (Scopus)
109
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Dive into the research topics of 'Efficient estimation for diffusions sampled at high frequency over a fixed time interval'. Together they form a unique fingerprint.
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Mathematics
Estimating Function
100%
Diffusion Process
100%
Simulation Study
50%
Variance
50%
Dependent Data
50%
Stochastic Differential Equation
50%
time interval τ
50%
Sample Path
50%
Approximates
50%
Asymptotic Distribution
50%
Parametric
50%
Asymptotics
50%
Keyphrases
Normal Variance Mixtures
50%
Standard Normal Distribution
50%
Consistent Rate
50%
Rate-optimal
50%
Approximate Martingale Estimating Function
50%
Stable Convergence
50%
Ergodic Model
50%
High-frequency Observations
50%