Berry–Esseen Bounds of the Quasi Maximum Likelihood Estimators for the Discretely Observed Diffusions

Quasi-maximum Likelihood Estimation of Discretely Observed Diffusions∗

This paper introduces quasi-maximum likelihood estimator for discretely observed diffusions when a closed-form transition density is unavailable. Higher order Wagner-Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical...

Quasi-Maximum Likelihood Estimation of Multivariate Diffusions

This paper introduces quasi-maximum likelihood estimator for multivariate diffusions based on discrete observations. A numerical solution to the stochastic differential equation is obtained by higher order Wagner-Platen approximation and it is used to derive the first two conditional moments. Monte Carlo simulation shows that the proposed method has good finite sample property for both normal a...

Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s. continuous estimators of the likelihood function for a family of diffusion models and its performance in numerical examples is computationally efficient. It uses a recently developed technique for the exact simulation of diffus...

Asymptotic Distributions of Quasi-Maximum Likelihood Estimators

Asymptotic properties of MLEs and QMLEs of mixed regressive, spatial autoregressive models are investigated. The stochastic rates of convergence of the MLE and QMLE for such models may be less than the √ n-rate under some circumstances even though its limiting distribution is asymptotically normal. When spatially varying regressors are relevant, the MLE and QMLE of the mixed regressive, autoreg...

Discretely Observed Diffusions: Approximation of the Continuous-time Score Function