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A Monte-Carlo study on a new estimator in a diffusion process

Title
A Monte-Carlo study on a new estimator in a diffusion process
Authors
임미홍
Issue Date
2001
Department/Major
대학원 통계학과
Publisher
이화여자대학교 대학원
Degree
Master
Abstract
본 연구에서는 비정상이거나 비선형인 이토 유형의 확률미분모형 자료의 모수를 추정하기 위해 pivotal quantity가 정확히 정규분포를 따르는 IV estimator를 이용한 방법을 제안하였다. 몬테칼로 시뮬레이션을 수행한 결과 기존의 LSE보다 IV estimator가 비정상이거나 비선형인 모형 ; By the Monte-Carlo simulation, we study finite sample properties of the new instrumental variable estimator whose pivotal quantity has an exact finite sample normal distribution for estimating the parameter of diffusion processes defined by the possible non- stationary and/or nonlinear stochastic differential equations of the Ito type. Monte-Carlo simulation shows that the new estimator provides an alternative to the least squares estimator (LSE) for non -stationary and/or nonlinear diffusion processes.
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