Parametric inference for discretely sampled stochastic differential equations

Michael Sørensen ()
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Michael Sørensen: School of Economics and Management, University of Aarhus, Denmark and CREATES, Postal: 8000 Aarhus C, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale estimating functions. Particular attention is given to explicit estimating functions. Results on both fixed frequency and high frequency asymptotics are given. When choosing among the many estimators available, guidance is provided by simple criteria for high frequency efficiency and rate optimality that are presented in the framework of approximate martingale estimating functions.

Keywords: Asymptotic results; discrete time observation of a diffusion; efficiency; eigenfunctions; explicit inference; generalized method of moments; likelihood infer- ence; martingale estimating functions; high frequency asymptotics; Pearson diffu- sions. (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 22
Date: 2008-04-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-18

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