rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Asymptotics for the maximum likelihood estimators of diffusion models
  name:
    name part: Jeong, Minsoo.
    role:
      role term: creator
  name:
    name part: Park, Joon Y.
    role:
      role term: thesis advisor.
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: txu
    date issued: 2010
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: remote
    extent: 1 online resource.
  abstract: In this paper I derive the asymptotics of the exact, Euler, and Milstein ML estimators for diffusion models, including general nonstationary diffusions. Though there have been many estimators for the diffusion model, their asymptotic properties were generally unknown. This is especially true for the nonstationary processes, even though they are usually far from the standard ones. Using a new asymptotics with respect to both the time span T and the sampling interval [delta], I find the asymptotics of the estimators and also derive the conditions for the consistency. With this new asymptotic result, I could show that this result can explain the properties of the estimators more correctly than the existing asymptotics with respect only to the sample size n. I also show that there are many possibilities to get a better estimator utilizing this asymptotic result with a couple of examples, and in the second part of the paper, I derive the higher order asymptotics which can be used in the bootstrap analysis.
  note: by Minsoo Jeong.
  note: "Major Subject: Economics"
  note: Title from author supplied metadata (automated record created 2010-03-12 12:08:51).
  note: Electronic resource.
  note: Doctor of Philosophy Texas A&M University 2008 http://hdl.handle.net/1969.1/ETD-TAMU-2335
  note: Includes bibliographical references.
  note: Text (Dissertation)
  subject:
    topic: Major economics
  subject:
    topic: Euler scheme
  subject:
    topic: True transition density
  subject:
    topic: Nonstationary diffusion process
  subject:
    topic: Hypothesis testing
  subject:
    topic: Milstein scheme
  subject:
    topic: Mixed normal limit theory
  subject:
    topic: Maximum likelihood estimation
  identifier: http://hdl.handle.net/1969.1/ETD-TAMU-2335
  record info:
    record content source: TXA
    record creation date: 100428
    record change date: 20151201150130.0
    record identifier: in00002595301