Closed-form likelihood expansions for multivariate diffusions

DOI10.1214/009053607000000622zbMath1246.62180arXiv0804.0758OpenAlexW3022114093MaRDI QIDQ2426628

Yacine Aït-Sahalia

Publication date: 23 April 2008

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

Full work available at URL: https://arxiv.org/abs/0804.0758

zbMATH Keywords

discrete observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Uses Software

• stochastic

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