Parameter Estimation for a Discretely Observed Integrated Diffusion Process

Abstract. We consider the estimation of unknown parameters in the drift and diffusion coefficients of a one-dimensional ergodic diffusion X when the observation is a discrete sampling of the integral of X at times iΔ,i = 1,…,n. Assuming that the sampling interval tends to 0 while the total length time interval tends to infinity, we first prove limit theorems for functionals associated with our observations. We apply these results to obtain a contrast function. The associated minimum contrast estimators are shown to be consistent and asymptotically Gaussian with different rates for drift and diffusion coefficient parameters.