Approximate maximum likelihood estimation for one-dimensional diffusions observed on a fine grid

DOI10.1111/SJOS.12556MaRDI QIDQ5043793zbMATH OpenOpenAlexFDO

Authors Kevin W. Lu, P. J. Paine, Simon Preston, Andrew T. A. Wood

Publication date 6 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12556

zbMATH Keywords

expansionItô-Taylor expansionmixingstochastic differential equationtransition density approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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