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Abstract |
We consider efficient estimation of both drift and diffusion coefficient parameters for an ergodic diffusion process from discrete observations. From the viewpoint of numerical analysis, hybrid estima...tors based on the initial Bayes type estimators from the reduced data are proposed and the asymptotic properties of the hybrid estimators, including convergence of moments, are shown. Furthermore, we give examples and simulation results in order to investigate the asymptotic performance of the proposed estimators.show more
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