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Zbl 0882.62080
Shoji, Isao; Ozaki, Tohru
Comparative study of estimation methods for continuous time stochastic processes. (English)
[J] J. Time Ser. Anal. 18, No.5, 485-506 (1997). ISSN 0143-9782; ISSN 1467-9892/e

Summary: We investigate the finite sample performance of five estimation methods for a continuous-time stochastic process from discrete observations. Applying these methods to two examples of stochastic differential equations, one with linear drift and state-dependent diffusion coefficients and the other with nonlinear drift and constant diffusion coefficients, Monte Carlo experiments are carried out to evaluate the finite sample performance of each method. The Monte Carlo results indicate that the differences between the methods are large when the discrete-time interval is large. In addition, these differences are noticeable in estimations of the diffusion coefficients.

MSC 2000:: *62M09 Non-Markovian processes: estimation
62M05 Markov processes: estimation
65C05 Monte Carlo methods

Keywords: stochastic differential equation; discretization; maximum likelihood estimation; generalized method of moments

Cited in: Zbl 0895.65069

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