Asymptotic properties of Monte Carlo estimators of diffusion processes.
This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. We examine two types of estimators based on the Euler scheme, one applied to the original processes, the other to a Doss transformation of the processes. We show that the transformation increases the speed o...
| Publicado en: | Journal of Econometrics Vol. 134; no. 1; pp. 1 - 69 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Elsevier Science
September 2006
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511314102&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511314102 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: September 2006 vid: 134 iid: 1 pid: 1004 pub: Elsevier Science artinfo: ui: 511314102 10.1016/j.jeconom.2005.06.028 ppf: 1 ppct: 68 formats: tig: atl: Asymptotic properties of Monte Carlo estimators of diffusion processes. aug: au: Detemple, Jérôme Garcia, René Rindisbacher, Marcel su: Difference equations Estimation theory Monte Carlo method Mathematical transformations Diffusion processes sug: subj: Difference equations Estimation theory Monte Carlo method Mathematical transformations Diffusion processes ab: This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. We examine two types of estimators based on the Euler scheme, one applied to the original processes, the other to a Doss transformation of the processes. We show that the transformation increases the speed of convergence of the Euler scheme. We also study estimators of conditional expectations of diffusions. After characterizing expected approximation errors, we construct second-order bias-corrected estimators. We also derive new convergence results for the Mihlstein scheme. Illustrations of the results are provided in the context of simulation-based estimation of diffusion processes. Copyright (c) 2006 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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