The delta expansion for the transition density of diffusion models

DOI10.1016/j.jeconom.2013.10.008zbMath1293.60078OpenAlexW2047430779MaRDI QIDQ2512632

Seongjoo Song, Eun-Kyung Lee, Yoon-Dong Lee

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.10.008

zbMATH Keywords

transition densityHermite expansionEdgeworth expansionlikelihood estimationdiffusion model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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