Maximum-likelihood estimation for diffusion processes via closed-form density expansions

DOI10.1214/13-AOS1118zbMath1273.62196arXiv1308.2764OpenAlexW2000293310MaRDI QIDQ366977

Chenxu Li

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2764

zbMATH Keywords

asymptotic expansionsdiscrete observationstransition densities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items

Prediction-based estimation for diffusion models with high-frequency data, ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES, Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations, Estimating jump-diffusions using closed-form likelihood expansions, Contrast estimation for noisy observations of diffusion processes via closed-form density expansions, Approximate arbitrage-free option pricing under the SABR model, Weak approximation of SDEs for tempered distributions and applications, Diffusion copulas: identification and estimation, Maximum-likelihood estimation for diffusion processes via closed-form density expansions, From bond yield to macroeconomic instability: a parsimonious affine model, WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations, APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH, On Markov chain approximations for computing boundary crossing probabilities of diffusion processes, Asymptotic expansion and estimates of Wiener functionals, Maximum likelihood estimation of latent Markov models using closed-form approximations, Maximum likelihood estimation for stochastic Lotka-Volterra model with jumps, Hermite polynomial based expansion of European option prices, It only takes a few moments to hedge options, Estimating a class of diffusions from discrete observations via approximate maximum likelihood method, Explicit form of approximate transition probability density functions of diffusion processes, A new delta expansion for multivariate diffusions via the Itô-Taylor expansion, Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps, Approximate maximum likelihood estimation of a threshold diffusion process, Robust test for dispersion parameter change in discretely observed diffusion processes, A closed-form expansion approach for pricing discretely monitored variance swaps, Gaussian estimation for discretely observed Cox–Ingersoll–Ross model, Empirical \(L^2\)-distance test statistics for ergodic diffusions, Maximum likelihood estimation of diffusions by continuous time Markov chain

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Saddlepoint approximations for continuous-time Markov processes
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
• Parameter estimation and bias correction for diffusion processes
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions
• Adaptive estimation of an ergodic diffusion process based on sampled data
• On the approximate maximum likelihood estimation for diffusion processes
• Asymptotic expansions for martingales
• Large deviations and the Malliavin calculus
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• Multiple stochastic integrals with Mathematica
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• On a short time expansion of the fundamental solution of heat equations by the method of Wiener functionals
• Estimation for diffusion processes from discrete observation
• Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• On the validity of the formal Edgeworth expansion
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Bartlett type identities for martingales
• Malliavin calculus and asymptotic expansion for martingales
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Martingale estimation functions for discretely observed diffusion processes
• Martingale expansions and second order inference
• Closed-form likelihood expansions for multivariate diffusions
• Density approximations for multivariate affine jump-diffusion processes
• Exact simulation of diffusions
• Two singular diffusion problems
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• Estimation of the coefficients of a diffusion from discrete observations
• The Malliavin Calculus and Related Topics
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Methods de laplace et de la phase stationnaire sur l'espace de wiener
• On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
• Estimation of an Ergodic Diffusion from Discrete Observations
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• A Gaussian approach for continuous time models of the short-term interest rate
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• The bootstrap and Edgeworth expansion
• Malliavin calculus and martingale expansion