Maximum likelihood estimation of time-inhomogeneous diffusions.

DOI10.1016/S0304-4076(02)00221-XzbMath1085.62131MaRDI QIDQ1871562

Alexei V. Egorov, Hai-Tao Li, Yuewu Xu

Publication date: 4 May 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

density; Maximum likelihood estimation; Hermite expansion; Transition; Time-inhomogeneous diffusion

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M05: Markov processes: estimation; hidden Markov models

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