Maximum likelihood estimation for integrated diffusion processes

DOI10.1007/978-3-642-03479-4_20MaRDI QIDQ3000892zbMATH OpenOpenAlexFDO

Authors Fernando Baltazar-Larios, Michael Sørensen

Publication date 31 May 2011

Published in Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/21591377/rp10_33.pdf

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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• Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions
• Maximum penalized quasi-likelihood estimation of the diffusion function
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• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
• Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
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• Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
• Prediction-based estimating functions: review and new developments
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
• Globally optimal parameter estimates for nonlinear diffusions
• Information theory for maximum likelihood estimation of diffusion models

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