# Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions

Research output: Chapter in Book/Report/Conference proceedingChapter

### 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 Recent Studies on Risk Analysis and Statistical Modeling T. Oliveira, C. Kitsos, A. Oliveira, L. Grilo Cham Springer International Publishing 335-343 978-3-319-76605-8 978-3-319-76604-1 https://doi.org/10.1007/978-3-319-76605-8_24 Published - 23 Aug 2018

### Publication series

Name Contributions to Statistics Springer International Publishing 1431-1968

• ## 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