On the approximate maximum likelihood estimation for diffusion processes
نویسندگان
چکیده
منابع مشابه
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. Aı̈t-Sahalia (1999, 2002) proposed asymptotic expansions to the transition densities of diffusion processes, which lead to an approximate maximum likelihood estimation (AMLE) for parameters. Built on...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/11-aos922