Method of moments estimation for the superposition of square-root diffusions
Abstract We consider the problem of parameter estimation for the superposition of square-root diffusions. We first derive the explicit formulas for the moments and auto-covariances based on which we develop our moment estimators. We then establish a central limit theorem for the estimators with the explicit formulas for the asymptotic covariance matrix. Finally, we conduct numerical experiments to validate our method.
Authors
- Yanfeng Wu (ORCID: https://orcid.org/0000-0002-7105-1070)
- Jian-Qiang Hu (ORCID: https://orcid.org/0000-0003-2989-8048)
Institutions
- Fudan University (CN)
Publication Details
- Journal
- Probability in the Engineering and Informational Sciences
- Published
- 2024-11-15
- DOI
- https://doi.org/10.1017/s0269964824000147
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00