Year: 2026
Type: article
Abstract: In this paper, we investigate parameter estimation for a class of linear self-attracting diffusion processes. Specifically, we consider processes with a drift coefficient given by −θ∫0t(Xt−Xu)du. Employing both maximum likelihood estimation and least squares estimation, we show that the resulting estimators coincide. We establish the consistency and asymptotic normality of θ^N for high-frequency data, and assess its numerical performance through simulation studies.
Source: Mathematics
DOI: 10.3390/math14071125
Authors: Xuejiao Li, Wei Wang
Institution: Renmin University of China
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $3,137
OpenAlex ID: W7141053287
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