Title: Data driven time scale for diffusion processes in YUIMA
Authors: Shoichi Eguchi - Osaka University (Japan) [presenting]
Abstract: Parametric estimation of diffusion processes with unknown sampling stepsize has been studied, and estimators of model parameters and sampling stepsize has been constructed in a fully explicit way. Based on that, we create the function which can estimate model parameter and sampling stepsize for ergodic diffusion processes in R package yuima. We will first overview the estimation method of model parameters and sampling stepsize and then explain the specification of the created function. Some numerical examples are given in order to show how to use the function.