Closed-form likelihood expansions for multivariate diffusions
From MaRDI portal
Publication:2426628
DOI10.1214/009053607000000622zbMath1246.62180arXiv0804.0758OpenAlexW3022114093MaRDI QIDQ2426628
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
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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