Title: Data driven time scale for ergodic diffusion processes in YUIMA package
Authors: Shoichi Eguchi - Osaka University (Japan) [presenting]
Abstract: The aim is to show a parametric estimation of ergodic diffusion processes with unknown sampling stepsize and how to construct estimators of model parameters and sampling stepsize in a fully explicit way. Based on this, 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.