Non-parametric estimation of the coefficients of ergodic diffusion processes based on high-frequency data
نویسندگان
چکیده
The content of this chapter is directly inspired by Comte, Genon-Catalot, and Rozenholc (2006; 2007). We consider non-parametric estimation of the drift and diffusion coefficients of a one-dimensional diffusion process. The main assumption on the diffusion model is that it is ergodic and geometrically mixing. The sample path is assumed to be discretely observed with a small regular sampling interval . The estimation method that we develop is based on a penalized mean square approach. This point of view is fully investigated for regression models in Comte and Rozenholc (2002, 2004). We adapt it to discretized diffusion models.
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