Bias reduction in nonparametric diffusion coefficient estimation

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27592
Resumo: In this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.
id RCAP_71cbc227156a90f0df06a6c2d4c5f599
oai_identifier_str oai:www.repository.utl.pt:10400.5/27592
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Bias reduction in nonparametric diffusion coefficient estimationAsynptotic BiasNon-parametric DiffusionCoefficient EstimationIn this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.Cambridge University PressRepositório da Universidade de LisboaNicolau, João2023-04-05T15:11:25Z20032003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27592engNicolau, João (2003). “Bias reduction in nonparametric diffusion coefficient estimation”. Econometric Theory, Vol. 19: pp. 754–777. (Search PDF in 2023)0266-466610+10170S0266466603195035info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:19Zoai:www.repository.utl.pt:10400.5/27592Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:03.374954Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Bias reduction in nonparametric diffusion coefficient estimation
title Bias reduction in nonparametric diffusion coefficient estimation
spellingShingle Bias reduction in nonparametric diffusion coefficient estimation
Nicolau, João
Asynptotic Bias
Non-parametric Diffusion
Coefficient Estimation
title_short Bias reduction in nonparametric diffusion coefficient estimation
title_full Bias reduction in nonparametric diffusion coefficient estimation
title_fullStr Bias reduction in nonparametric diffusion coefficient estimation
title_full_unstemmed Bias reduction in nonparametric diffusion coefficient estimation
title_sort Bias reduction in nonparametric diffusion coefficient estimation
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Asynptotic Bias
Non-parametric Diffusion
Coefficient Estimation
topic Asynptotic Bias
Non-parametric Diffusion
Coefficient Estimation
description In this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.
publishDate 2003
dc.date.none.fl_str_mv 2003
2003-01-01T00:00:00Z
2023-04-05T15:11:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27592
url http://hdl.handle.net/10400.5/27592
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João (2003). “Bias reduction in nonparametric diffusion coefficient estimation”. Econometric Theory, Vol. 19: pp. 754–777. (Search PDF in 2023)
0266-4666
10+10170S0266466603195035
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131572090175488

Registros relacionados