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math.ST updates on arXiv.org

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Estimation of ergodic square-root diffusion under high-frequency sampling
Yuzhong Cheng, Nicole Hufnagel, Hiroki Masuda · 2021-03-29 · via math.ST updates on arXiv.org

Gaussian quasi-likelihood estimation of the parameter $θ$ in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbeck and Rydén(1998) under low-frequency sampling, high-frequency of data provides very simple form of the asymptotic covariance matrix. Through easy-to-compute preliminary contrast functions, a practical two-stage manner without numerical optimization is formulated in order to conduct not only an asymptotically efficient estimation of the drift parameters, but also high-precision estimator of the diffusion parameter. Simulation experiments are given to illustrate the results.

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