Estimation in Interacting Diffusions: Continuous and Discrete Sampling

DOI: 10.4236/am.2011.29160   PDF   HTML     5,247 Downloads   8,002 Views   Citations


Consistency and asymptotic normality of the sieve estimator and an approximate maximum likelihood estimator of the drift coefficient of an interacting particles of diffusions are studied. For the sieve estimator, observations are taken on a fixed time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the dimension of the sieve. For the approximate maximum likelihood estimator, discrete observations are taken in a time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the number of observation time points.

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J. Bishwal, "Estimation in Interacting Diffusions: Continuous and Discrete Sampling," Applied Mathematics, Vol. 2 No. 9, 2011, pp. 1154-1158. doi: 10.4236/am.2011.29160.

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The authors declare no conflicts of interest.


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