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Parameter estimation for rough differential equations
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Papavasiliou, Anastasia and Ladroue, Christophe (2009) Parameter estimation for rough differential equations. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.1).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
We construct an estimator based on "signature matching" for differential
equations driven by rough paths and we prove its consistency and asymptotic
normality. Note that the the Moment Matching estimator is a special case of
this estimator.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Computer Science Faculty of Science, Engineering and Medicine > Science > Statistics |
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Library of Congress Subject Headings (LCSH): | Parameter estimation, Differential equations | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.2009 | ||||
Number: | No.1 | ||||
Number of Pages: | 15 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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