Sample partitioning estimation for ergodic diffusions

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Abstract

In this paper we present a new technique to obtain estimators for parameters of ergodic processes. When a di usion is ergodic its transition density converges to the invariant density [2]. This convergence enabled us to introduce a sample partitioning technique that gives, in each sub-sample, observations that can be treated as independent and identically distributed. Within this framework, is possible the construction of estimators like maximum likelihood estimators or others.
Original languageUnknown
Pages (from-to)105-117
JournalCommunications In Statistics-Simulation And Computation
Volume44
Issue number1
DOIs
Publication statusPublished - 1 Jan 2015

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