Quasi-maximum likelihood estimation of multivariate diffusions
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics and Econometrics
سال: 2013
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2012-0026