Estimation for discretely observed diffusions using transform functions

DOI10.1239/jap/1082552193zbMath1049.62092OpenAlexW3022297202MaRDI QIDQ4822454

Eckhard Platen, Leah Kelly, Michael Sørensen

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a8402ae1a6269e88eb532963f20a2dca54af47a5

zbMATH Keywords

discretely observed diffusiontransformation functionaffine diffusion process

Mathematics Subject Classification ID

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

Related Items

Quasi-maximum likelihood estimation of multivariate diffusions ⋮ Intraday empirical analysis and modeling of diversified world stock indices ⋮ Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process ⋮ Parametric estimation from approximate data: non-Gaussian diffusions ⋮ Quasi‐maximum likelihood estimation of discretely observed diffusions ⋮ Empirical evidence on Student-\(t\) log-returns of diversified world stock indices ⋮ Bayesian consistency for Markov models

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