Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Minimum Density Power Divergence Estimator for Diffusion Parameter in Discretely Observed Diffusion Processes

  • Song, Jun-Mo (Department of Statistics, Seoul National University) ;
  • Lee, Sang-Yeol (Department of Statistics, Seoul National University) ;
  • Na, Ok-Young (Department of Statistics, Seoul National University) ;
  • Kim, Hyo-Jung (Department of Statistics, Seoul National University)
  • Published : 2007.08.31
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Abstract

In this paper, we consider the robust estimation for diffusion processes when the sample is observed discretely. As a robust estimator, we consider the minimizing density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE for diffusion process is weakly consistent. A simulation study demonstrates the robustness of the MDPDE.

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References

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