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math.ST2026
Prediction-based inference for integrated diffusions with high-frequency data
Emil S. Jørgensen, Michael Sørensen
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data…
math.ST2020
Prediction-based estimation for diffusion models with high-frequency data
Emil S. Jørgensen, Michael Sørensen
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with…