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Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion

Sandie Souchet Samos — 2010

ESAIM: Probability and Statistics

Let be a real ergodic diffusion process which drift depends on an unkown parameter θ 0 ∈ ℝ p . 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...

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