Bias reduction in nonparametric diffusion coefficient estimation

Nicolau, João

http://hdl.handle.net/10400.5/27592

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Authors

Nicolau, João

Abstract(s)

In this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.

Keywords

Asynptotic Bias Non-parametric Diffusion Coefficient Estimation

URI

http://hdl.handle.net/10400.5/27592

Citation

Nicolau, João (2003). “Bias reduction in nonparametric diffusion coefficient estimation”. Econometric Theory, Vol. 19: pp. 754–777. (Search PDF in 2023)