Gaussian quasi-likelihood estimation of the parameter $\theta$ in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbeck and Ryd\'{e}n(1998) under low-frequency sampling, high-frequency of data provides very simple form of the asymptotic covariance matrix. Through easy-to-compute preliminary contrast functions, a practical two-stage manner without numerical optimization is formulated in order to conduct not only an asymptotically efficient estimation of the drift parameters, but also high-precision estimator of the diffusion parameter. Simulation experiments are given to illustrate the results.
翻译:在高频取样下,对平地扩散过程中的参数$\theta$进行半似数估计,研究时对高原扩散过程中的参数$\theta$进行了高频抽样研究。与以前在低频取样下对Overbeck和Ryd\'{e}n(1998年)的研究不同,高频数据提供了非常简单的无症状共变矩阵形式。通过易于计算的初步对比功能,制定了一种不进行数字优化的实用两阶段方法,以便不仅对漂移参数进行不那么有效的估计,而且对扩散参数进行高精度估计。模拟实验是为了说明结果。