Approximate maximum likelihood estimation for one‐dimensional diffusions observed on a fine grid

DOI10.1111/SJOS.12556zbMath1496.62143OpenAlexW3198917765MaRDI QIDQ5043793

Andrew T. A. Wood, Simon P. Preston, P. J. Paine, Kevin W. Lu

Publication date: 6 October 2022

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12556

zbMATH Keywords

stochastic differential equationexpansionmixingItô-Taylor expansiontransition density approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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