### 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 | |

Publication status | Published - 23 Aug 2018 |

### Publication series

Name | Contributions to Statistics |
---|---|

Publisher | Springer International Publishing |

ISSN (Print) | 1431-1968 |

## Fingerprint Dive into the research topics of 'Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions'. Together they form a unique fingerprint.

## Cite this

Mota, P., & Esquível, M. L. (2018). Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions. In T. Oliveira, C. Kitsos, A. Oliveira, & L. Grilo (Eds.),

*Recent Studies on Risk Analysis and Statistical Modeling*(pp. 335-343). (Contributions to Statistics). Springer International Publishing. https://doi.org/10.1007/978-3-319-76605-8_24