Estimation of parameters of the ornstein-uhlenbeck type processes with continuum of moment conditions

Yinfeng Wang; Yanlin Tang; Xinsheng Zhang

doi:10.1080/03610926.2013.804570

Estimation of parameters of the ornstein-uhlenbeck type processes with continuum of moment conditions

Yinfeng Wang
, Yanlin Tang
, Xinsheng Zhang^*

^*Corresponding author for this work

Shanghai Dianji University
Tongji University
Fudan University

Research output: Contribution to journal › Article › peer-review

Abstract

In this article, we develop a new method of parametric estimation for process of Ornstein-Uhlenbeck type. The proposed method is based on GMM with a continuum of moment conditions (CGMM), which is introduced in Carrasco and Florens (2002), and the estimator is called the CGMM estimator. We show that this CGMM estimator has consistency and asymptotic normality. Simulation studies evidence that the proposed method performs quite well in small-sample cases.

Original language	English
Pages (from-to)	5189-5203
Number of pages	15
Journal	Communications in Statistics - Theory and Methods
Volume	44
Issue number	24
DOIs	https://doi.org/10.1080/03610926.2013.804570
State	Published - 17 Dec 2015
Externally published	Yes

Keywords

GMM with Continuum of Moment Conditions (CGMM)
Parametric Estimation
Process of Ornstein-Uhlenbeck type

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10.1080/03610926.2013.804570

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abstract = "In this article, we develop a new method of parametric estimation for process of Ornstein-Uhlenbeck type. The proposed method is based on GMM with a continuum of moment conditions (CGMM), which is introduced in Carrasco and Florens (2002), and the estimator is called the CGMM estimator. We show that this CGMM estimator has consistency and asymptotic normality. Simulation studies evidence that the proposed method performs quite well in small-sample cases.",

keywords = "GMM with Continuum of Moment Conditions (CGMM), Parametric Estimation, Process of Ornstein-Uhlenbeck type",

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N2 - In this article, we develop a new method of parametric estimation for process of Ornstein-Uhlenbeck type. The proposed method is based on GMM with a continuum of moment conditions (CGMM), which is introduced in Carrasco and Florens (2002), and the estimator is called the CGMM estimator. We show that this CGMM estimator has consistency and asymptotic normality. Simulation studies evidence that the proposed method performs quite well in small-sample cases.

AB - In this article, we develop a new method of parametric estimation for process of Ornstein-Uhlenbeck type. The proposed method is based on GMM with a continuum of moment conditions (CGMM), which is introduced in Carrasco and Florens (2002), and the estimator is called the CGMM estimator. We show that this CGMM estimator has consistency and asymptotic normality. Simulation studies evidence that the proposed method performs quite well in small-sample cases.

KW - GMM with Continuum of Moment Conditions (CGMM)

KW - Parametric Estimation

KW - Process of Ornstein-Uhlenbeck type

UR - https://www.scopus.com/pages/publications/84949580330

U2 - 10.1080/03610926.2013.804570

DO - 10.1080/03610926.2013.804570

M3 - 文章

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JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 24

ER -

Estimation of parameters of the ornstein-uhlenbeck type processes with continuum of moment conditions

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Keywords

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