Maximum penalized quasi-likelihood estimation of the diffusion function
نویسندگان
چکیده
منابع مشابه
Maximum Penalized Quasi-likelihood Estimation of the Diffusion Function
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function, we study the asymptotic properties of our estimator by way of simulation. U...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2011
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2011.615212