Maximum-likelihood estimation for diffusion processes via closed-form density expansions

DOI10.1214/13-AOS1118zbMath1273.62196arXiv1308.2764MaRDI QIDQ366977

Chenxu Li

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2764

zbMATH Keywords

asymptotic expansions; discrete observations; transition densities

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

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