Skip to Main content Skip to Navigation
Journal articles

Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient

Abstract : We consider a multidimensional diffusion X with drift coefficient b(α,Xt) and diffusion coefficient ǫσ(β,Xt). The diffusion sample path is discretely observed at times tk = k for k = 1..n on a fixed interval [0, T]. We study minimum contrast estimators derived from the Gaussian process approximating X for small ǫ. We obtain consistent and asymptotically normal estimators of α for fixed and ǫ → 0 and of (α, β) for → 0 and ǫ → 0 without any condition linking ǫ and . We compare the estimators obtained with various methods and for various magnitudes of and ǫ based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.
Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00937301
Contributor : Serena Benassù <>
Submitted on : Tuesday, January 28, 2014 - 10:54:51 AM
Last modification on : Thursday, May 28, 2020 - 3:32:49 AM

Links full text

Identifiers

Citation

R. Guy, C. Laredo, E. Vergu. Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient. Stochastic Processes and their Applications, Elsevier, 2014, 124 (1), pp.51-80. ⟨10.1016/j.spa.2013.07.009⟩. ⟨hal-00937301⟩

Share

Metrics

Record views

177