Skip to Main content Skip to Navigation

Contrast estimator for completely or partially observed hypoelliptic diffusion

Abstract : Parameter estimation for two-dimensional hypoelliptic diffusions is considered within two observations frameworks: complete observations where both coordinates are discretely observed and partial observations where only the first coordinate is discretely observed. Since the volatility matrix is degenerate, Euler contrast estimators can not be used directly. For complete observations, we introduce an Euler contrast based on the second coordinate only. For partial observations, we define an Euler contrast for an integrated diffusion resulting from a transformation of the original one. We present a theoretical study where the estimators are proved to be consistent and asymptotically Gaussian. A numerical application to Langevin systems illustrates the nice properties of both complete and partial observations estimators.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00598553
Contributor : Adeline Samson <>
Submitted on : Monday, June 6, 2011 - 5:17:33 PM
Last modification on : Thursday, March 26, 2020 - 9:14:34 PM
Document(s) archivé(s) le : Sunday, December 4, 2016 - 10:49:17 AM

File

samson_thieullen_HAL.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00598553, version 1

Citation

Adeline Samson, Michèle Thieullen. Contrast estimator for completely or partially observed hypoelliptic diffusion. 2011. ⟨hal-00598553v1⟩

Share

Metrics

Record views

51

Files downloads

41