Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion
Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion
Let be a real ergodic diffusion process which drift depends on an unkown parameter . Our aim is to estimate from a discrete observation of the process , , for a fixed and small , as goes to infinity. For that purpose, we adapt the Generalized Method of Moments ( Hansen) to the anticipative and approximate discrete-time trapezoidal scheme, and then to Simpson's. Under some general assumptions, the trapezoidal scheme (respectively Simpson's scheme) provides an estimation...
Estimation de Yule–Walker d'un CAR(p) observé à temps discret
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