On the approximate maximum likelihood estimation for diffusion processes

DOI10.1214/11-AOS922zbMATH Open1246.62181arXiv1203.2004MaRDI QIDQ449968FDOQ449968

Authors: Jinyuan Chang, Song Xi Chen 

Publication date: 3 September 2012

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

Abstract: The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A"{i}t-Sahalia [J. Finance 54 (1999) 1361--1395; Econometrica 70 (2002) 223--262] proposed asymptotic expansions to the transition densities of diffusion processes, which lead to an approximate maximum likelihood estimation (AMLE) for parameters. Built on A"{i}t-Sahalia's [Econometrica 70 (2002) 223--262; Ann. Statist. 36 (2008) 906--937] proposal and analysis on the AMLE, we establish the consistency and convergence rate of the AMLE, which reveal the roles played by the number of terms used in the asymptotic density expansions and the sampling interval between successive observations. We find conditions under which the AMLE has the same asymptotic distribution as that of the full MLE. A first order approximation to the Fisher information matrix is proposed.

Full work available at URL: https://arxiv.org/abs/1203.2004

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zbMATH Keywords

asymptotic normalityasymptotic expansionconsistencydiscrete time observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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