Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions

Pedro Mota; Manuel Leote Esquível

doi:10.1007/978-3-319-76605-8_24

Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

When \(\left (X_t\right )_{t\geq 0}\) is an ergodic process, the density function of Xt converges to some invariant density as t →∞. We will compute and study some asymptotic properties of pseudo moments estimators obtained from this invariant density, for a specific class of ergodic processes. In this class of processes we can find the Cox-Ingersoll & Ross or Dixit & Pindyck processes, among others. A comparative study of the proposed estimators with the usual estimators obtained from discrete approximations of the likelihood function will be carried out.

Original language	English
Title of host publication	Recent Studies on Risk Analysis and Statistical Modeling
Editors	T. Oliveira, C. Kitsos, A. Oliveira, L. Grilo
Place of Publication	Cham
Publisher	Springer International Publishing
Pages	335-343
ISBN (Electronic)	978-3-319-76605-8
ISBN (Print)	978-3-319-76604-1
DOIs	https://doi.org/10.1007/978-3-319-76605-8_24
Publication status	Published - 23 Aug 2018

Publication series

Name	Contributions to Statistics
Publisher	Springer International Publishing
ISSN (Print)	1431-1968

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10.1007/978-3-319-76605-8_24

Cite this

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title = "Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions",

abstract = "When \(\left (X_t\right )_{t\geq 0}\) is an ergodic process, the density function of Xt converges to some invariant density as t →∞. We will compute and study some asymptotic properties of pseudo moments estimators obtained from this invariant density, for a specific class of ergodic processes. In this class of processes we can find the Cox-Ingersoll & Ross or Dixit & Pindyck processes, among others. A comparative study of the proposed estimators with the usual estimators obtained from discrete approximations of the likelihood function will be carried out.",

author = "Pedro Mota and Esqu{\'i}vel, {Manuel Leote}",

note = "info:eu-repo/grantAgreement/FCT/5876/147204/PT# This work was partially supported by the Funda{\c c}{\~a}o para a Ci{\^e}ncia e a Tecnologia (Portuguese Foundation for Science and Technology) through the project UID/MAT/00297/2013 (Centro de Matem{\'a}tica e Aplica{\c c}{\~o}es).",

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Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions. / Mota, Pedro ; Esquível, Manuel Leote.

Recent Studies on Risk Analysis and Statistical Modeling. ed. / T. Oliveira; C. Kitsos; A. Oliveira; L. Grilo. Cham : Springer International Publishing, 2018. p. 335-343 (Contributions to Statistics).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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PB - Springer International Publishing

CY - Cham

ER -

Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions

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