On the approximate maximum likelihood estimation for diffusion processes

DOI10.1214/11-AOS922zbMath1246.62181arXiv1203.2004MaRDI QIDQ449968

Jinyuan Chang, Song Xi Chen

Publication date: 3 September 2012

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

Full work available at URL: https://arxiv.org/abs/1203.2004

zbMATH Keywords

consistencyasymptotic expansionasymptotic normalitydiscrete time observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Estimating jump-diffusions using closed-form likelihood expansions ⋮ Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ Testing for the presence of jump components in jump diffusion models ⋮ From bond yield to macroeconomic instability: a parsimonious affine model ⋮ Parametric inference for diffusions observed at stopping times ⋮ Estimation for incomplete information stochastic systems from discrete observations ⋮ Information theory for maximum likelihood estimation of diffusion models ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ On the approximate maximum likelihood estimation for diffusion processes ⋮ Explicit form of approximate transition probability density functions of diffusion processes ⋮ A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Nonparametric estimation of jump diffusion models ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ An asymptotic analysis of likelihood-based diffusion model selection using high frequency data ⋮ The delta expansion for the transition density of diffusion models ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Parameter estimation and bias correction for diffusion processes
• On the approximate maximum likelihood estimation for diffusion processes
• Ultra high frequency volatility estimation with dependent microstructure noise
• Estimators of diffusions with randomly spaced discrete observations: a general theory
• Asymptotic nonequivalence of GARCH models and diffusions
• LAN property for ergodic diffusions with discrete observations
• Martingale estimation functions for discretely observed diffusion processes
• A selective overview of nonparametric methods in financial econometrics
• Closed-form likelihood expansions for multivariate diffusions
• Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
• The parabolic differential equations and the associated semigroups of transformation
• Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality
• A Theory of the Term Structure of Interest Rates
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Inference for Continuous Semimartingales Observed at High Frequency
• Uniform Convergence in Probability and Stochastic Equicontinuity
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Stochastic differential equations. An introduction with applications.