[R] estimation of drift of continuous random walk

Vadim Ogranovich vograno at arbitrade.com
Fri Jul 20 02:56:34 CEST 2001

Dear R-Users,

I have the following problem to solve and I wonder if there are means in R
that can help me.

At irregular time intervals I observe a random walk process, Y, with
time-varying drift. I assume that the drift, D, is a (linear) function of
some parameter X. The goal is to estimate D(X).

I could regress Y_{t+dt} - Y_{t} ~ X, but it's probably not appropriate
since Var(Y_{t+dt} - Y_{t}) is not constant (actually in theory it is
proportional to dt).

Any suggestions?

Thank you,

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