- Date: 27 Aug. (Thu.)
- Place: West Wing, 6th floor, Colloquium Room and on the Web (zoom)
- Time: 16:50-18:20
- Speaker: Nino Kordzakhia (Macquaire University, Australia)
- Title: On calibration of diffusion processes: the multidimensional case.
- Abstract:
We study general properties of maximum likelihood estimators (MLEs) for drift parameters in diffusion‑type models arising under the fixed time-horison and sequential sampling schemes within the framework of multi‑dimensional processes. In extending to multivariate drift parameter estimation, we use the Liptser-Shiryaev approach to generalise the results on MLEs obtained for one-dimensional diffusion-type processes.
For multivariate Ornstein-Uhlenbeck (O-U) processes, we discuss a general approach for obtaining the bias and mean‑square errors of the MLEs under a fixed time-horison.
We also illustrate the computational aspects of calibrating multivariate O-U processes in practical applications.
English