Gobet, Emmanuel; Hoffmann, Marc; Reiß, Markus - Sonderforschungsbereich 373, Quantifikation und … - 2002
We study the problem of estimating the coefficients of a diffusion (Xl, t 2:: 0); the estimation is based on discrete data Xn . . n = 0, 1, ... ,N. The sampling frequency delta t is constant , and asymptotics arc taken at the number of observations tends to infinity. We prove that the problem of...