A DRIFT ESTIMATOR FOR NON-LINEAR STOCHASTIC PROCESSES

Authors

  • Erik Honobe Departamento de Finanzas, Tecnológico de Monterrey, Campus Estado de México
  • Jonathan Sampson Departamento de Ingeniería Industrial, Tecnológico de Monterrey, Campus Estado de México

DOI:

https://doi.org/10.21919/remef.v2i3.152

Keywords:

Estimation, Mathematical Methods

Abstract

In this paper, we propose a drift estimation method for non-linear stochastic processes. In particular, we focus on producing strongly consistent estimators in the case of discrete observations, and present a proof of convergence of these estimators. Potential applications of these estimators include detecting cyclical and other non-linear trends inherent to asset prices.

Downloads

Issue

Section

Artículos