Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points

Adès, Michel, Dion, Jean-Pierre, and MacGibbon, Brenda. "Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points." Serdica Mathematical Journal 31.4 (2005): 291-308. <http://eudml.org/doc/219610>.

@article{Adès2005,
abstract = {2000 Mathematics Subject Classification: 60J60, 62M99.In this paper, we study the quasi-likelihood estimator of the drift parameter θ in the Ornstein-Uhlenbeck diffusion process, when the process is observed at random time points, which are assumed to be unobservable. These time points are arrival times of a Poisson process with known rate. The asymptotic properties of the quasi-likelihood estimator (QLE) of θ, as well as those of its approximations are also elucidated. An extensive simulation study of these estimators is also performed. As a corollary to this work, we obtain the quasi-likelihood estimator iteratively in the deterministic framework with non-equidistant time points.The first and third authors greatly appreciate the support of the Naturel Sciences and Engineering Research Council of Canada for this research.},
author = {Adès, Michel, Dion, Jean-Pierre, MacGibbon, Brenda},
journal = {Serdica Mathematical Journal},
keywords = {Diffusion Processes; Ornstein-Uhlenbeck; Quasi-Likelihood; Poisson Arrivals; diffusion processes; quasi-likelihood; Poisson arrivals},
language = {eng},
number = {4},
pages = {291-308},
publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},
title = {Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points},
url = {http://eudml.org/doc/219610},
volume = {31},
year = {2005},
}

TY - JOUR
AU - Adès, Michel
AU - Dion, Jean-Pierre
AU - MacGibbon, Brenda
TI - Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points
JO - Serdica Mathematical Journal
PY - 2005
PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences
VL - 31
IS - 4
SP - 291
EP - 308
AB - 2000 Mathematics Subject Classification: 60J60, 62M99.In this paper, we study the quasi-likelihood estimator of the drift parameter θ in the Ornstein-Uhlenbeck diffusion process, when the process is observed at random time points, which are assumed to be unobservable. These time points are arrival times of a Poisson process with known rate. The asymptotic properties of the quasi-likelihood estimator (QLE) of θ, as well as those of its approximations are also elucidated. An extensive simulation study of these estimators is also performed. As a corollary to this work, we obtain the quasi-likelihood estimator iteratively in the deterministic framework with non-equidistant time points.The first and third authors greatly appreciate the support of the Naturel Sciences and Engineering Research Council of Canada for this research.
LA - eng
KW - Diffusion Processes; Ornstein-Uhlenbeck; Quasi-Likelihood; Poisson Arrivals; diffusion processes; quasi-likelihood; Poisson arrivals
UR - http://eudml.org/doc/219610
ER -