Journal article
Predicting integrals of diffusion processes with unknown diffusion parameters
Stochastics and stochastics reports, Vol.69(3-4), pp.255-283
05/01/2000
DOI: 10.1080/17442500008834242
Abstract
Consider predicting the integral of a diffusion process Z in a bounded interval A given a set of observations
, where
is a dense triangular array of points (the step of discretization tends to zero as n increases) in the bounded interval. We predict
using the conditional expectation of the integral of the diffusion process, the optimal predictor in terms of minimizing the mean squared error, given the observed values of the process. We present in this paper an easily computed approximation to the optimal predictor and an approximation to the standard error in the prediction, assuming the diffusion parameters are unknown. The approximations obtained in this paper are asymptotically optimal and they are just simple functions of the observed diffusion values
Details
- Title: Subtitle
- Predicting integrals of diffusion processes with unknown diffusion parameters
- Creators
- Montserrat Fuentes - Statistics Department , North Carolina State University
- Resource Type
- Journal article
- Publication Details
- Stochastics and stochastics reports, Vol.69(3-4), pp.255-283
- Publisher
- Gordon and Breach Science Publishers
- DOI
- 10.1080/17442500008834242
- ISSN
- 1045-1129
- eISSN
- 1029-0346
- Language
- English
- Date published
- 05/01/2000
- Academic Unit
- Statistics and Actuarial Science; President; Biostatistics
- Record Identifier
- 9984065883202771
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