Pathwise stability of likelihood estimators for diffusions via rough paths
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1866 | |
| dc.contributor.author | Diehl, Joscha | |
| dc.contributor.author | Friz, Peter K. | |
| dc.contributor.author | Mai, Hilmar | |
| dc.date.accessioned | 2016-03-24T17:37:47Z | |
| dc.date.available | 2019-06-28T08:21:25Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | We consider the estimation problem of an unknown drift parameter within classes of non-degenerate diffusion processes. The Maximum Likelihood Estimator (MLE) is analyzed with regard to its pathwise stability properties and robustness towards misspecification in volatility and even the very nature of noise. We construct a version of the estimator based on rough integrals (in the sense of T. Lyons) and present strong evidence that this construction resolves a number of stability issues inherent to the standard MLEs. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2995 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3289 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Rough paths | eng |
| dc.subject.other | MLE for diffusions | eng |
| dc.subject.other | pathwise stability | eng |
| dc.subject.other | model misspecification | eng |
| dc.title | Pathwise stability of likelihood estimators for diffusions via rough paths | eng |
| dc.type | Report | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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