Sample Partitioning Estimation for Ergodic Diffusions: Application to Ornstein-Uhlenbeck Diffusion
- Citation:
- Ramos, Luís. "Sample Partitioning Estimation for Ergodic Diffusions: Application to Ornstein-Uhlenbeck Diffusion." Discussiones Mathematicae Probability and Statistics. 30 (2010): 117-122.
Abstract:
When a diffusion is ergodic its transition density converges to its invariant density, see Durrett (1998). This convergence enabled us to introduce a sample partitioning technique that gives in each sub-sample, maximum likelihood estimators. The averages of these being a natural choice as estimators. To compare our estimators with the optimal we obtained from martingale estimating functions, see Sorensen (1998), we used the Ornstein-Uhlenbeck process for which exact simulations can be carried out.
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