TY - JOUR
T1 - Estimation of parameters of the ornstein-uhlenbeck type processes with continuum of moment conditions
AU - Wang, Yinfeng
AU - Tang, Yanlin
AU - Zhang, Xinsheng
N1 - Publisher Copyright:
Copyright © Taylor & Francis Group, LLC.
PY - 2015/12/17
Y1 - 2015/12/17
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
AN - SCOPUS:84949580330
SN - 0361-0926
VL - 44
SP - 5189
EP - 5203
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 24
ER -