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.

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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
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article

Method of moments estimation for the superposition of square-root diffusions

Yanfeng Wu, Jian-Qiang Hu
Probability in the Engineering and Informational Sciences
Stochastic processes and financial applications
article

Method of moments estimation for the superposition of square-root diffusions

Yanfeng Wu, Jian-Qiang Hu
article en

Abstract

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.

Probability in the Engineering and Informational SciencesVol. 39(1)
Fudan University (CN)
Openalex Percentile: Top 72%
Stochastic processes and financial applications
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