[R] estimation of drift of continuous random walk
Adrian Trapletti
a.trapletti at bluewin.ch
Fri Jul 20 14:19:54 CEST 2001
1. Date: Thu, 19 Jul 2001 19:56:34 -0500
2. From: Vadim Ogranovich <vograno at arbitrade.com>
3. Subject: [R] estimation of drift of continuous random walk
4.
5. Dear R-Users,
6.
7. I have the following problem to solve and I wonder if there are
means in R
8. that can help me.
9.
10. At irregular time intervals I observe a random walk process, Y,
with
11. time-varying drift. I assume that the drift, D, is a (linear)
function of
12. some parameter X. The goal is to estimate D(X).
13.
14. I could regress Y_{t+dt} - Y_{t} ~ X, but it's probably not
appropriate
15. since Var(Y_{t+dt} - Y_{t}) is not constant (actually in theory it
is
16. proportional to dt).
(If the model is correctly specified) the above OLS regression should
give a consistent estimator for the drift. Using a WLS regression (in R
use lm(...,weights=...)) with weights proportional to 1/Var(Y_{t+dt} -
Y_{t}) = 1/dt (in this example) should produce a "better" estimator.
1.
2. Any suggestions?
3.
4. Thank you,
5. Vadim
6.
7.
best
Adrian
--
Dr. Adrian Trapletti Phone : +41 (0)1 994 56 30
Wildsbergstrasse 31 Fax : +41 (0)1 994 56 33
CH-8610 Uster, Switzerland Email : a.trapletti at bluewin.ch
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
More information about the R-help
mailing list