Pedro Mota

Citation:

Mota, Pedro, and Manuel L. Esquível. "Pseudo Maximum Likelihood and Moments Estimators for Some Ergodic Diffusions." Contributions to Statistics. Springer International Publishing, 2018. 335-343.

Abstract:

When (Xt)t≥0 is an ergodic process, the density function of Xt converges to some invariant density as t →∞. We will compute and study some asymptotic properties of pseudo moments estimators obtained from this invariant density, for a specific class of ergodic processes. In this class of processes we can find the Cox-Ingersoll & Ross or Dixit & Pindyck processes, among others. A comparative study of the proposed estimators with the usual estimators obtained from discrete approximations of the likelihood function will be carried out.

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