| Title | Sample partitioning estimation for ergodic diffusions |
| Publication Type | Unpublished |
| Year of Publication | 2012 |
| Authors | Ramos L, Mota P, Mexia J |
| Series Title | Preprint |
| Keywords | Consistency, Ergodic Diffusions, Independency, Least Squares, Martingale Estimating Functions, Maximum Likelihood Estimators, Method of Moments, Transition and Invariant Densities. |
| Abstract | In this paper we present a new technique to obtain estimators for parameters of ergodic processes. When a diffusion is ergodic its transition density converges to the invariant density (see Durett). 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. |
| URL | http://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2012/12_12.pdf |
